Rough volatility dynamics in commodity markets
Fuente:
arXiv
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| Autores principales: | , , , |
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| Formato: | Preprint |
| Publicado: |
2026
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866915895338598400 |
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| author | Daluiso, Roberto Folgar-Cameán, Héctor Pallavicini, Andrea Vázquez, Carlos |
| author_facet | Daluiso, Roberto Folgar-Cameán, Héctor Pallavicini, Andrea Vázquez, Carlos |
| contents | In this paper, we develop a general rough volatility model for commodities that provides an automatic calibration of the initial term structure of the futures prices and an appropriate treatment of the Samuelson effect. After the theoretical analysis of this general model, we focus on the rBergomi and rHeston models and their calibration to market data of vanilla futures options on WTI Crude Oil. Finally, numerical results illustrate the performance of the proposed rough volatility models for commodities pricing. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_26514 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Rough volatility dynamics in commodity markets Daluiso, Roberto Folgar-Cameán, Héctor Pallavicini, Andrea Vázquez, Carlos Pricing of Securities Computational Finance 65C05, 91G20, 91G60 In this paper, we develop a general rough volatility model for commodities that provides an automatic calibration of the initial term structure of the futures prices and an appropriate treatment of the Samuelson effect. After the theoretical analysis of this general model, we focus on the rBergomi and rHeston models and their calibration to market data of vanilla futures options on WTI Crude Oil. Finally, numerical results illustrate the performance of the proposed rough volatility models for commodities pricing. |
| title | Rough volatility dynamics in commodity markets |
| topic | Pricing of Securities Computational Finance 65C05, 91G20, 91G60 |
| url | https://arxiv.org/abs/2603.26514 |