Fiche du document
22 août 2022
- ISIDORE Id: 10670/1.ba3e45...
- hal: hal-03758093
http://hal.archives-ouvertes.fr/licences/publicDomain/ , info:eu-repo/semantics/OpenAccess
Mots-clés
commodity derivatives multiple factor model model calibration volatility skew commodity derivatives -fin]/Pricing of Securities [q-fin.PR]Citer ce document
David Lee, « Modeling Commodity Price Dynamics », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.ba3e45...
Métriques
Partage / Export
Résumé
The random component of commodity future prices can be generally broken down into major contributors or factors. These are known as principal components. In this paper, we present a multifactor framework for modeling commodity price dynamics. We develop a generic procedure for the model calibration. The calibration procedure consists of an offline step and an online step. Empirical and numeric study shows that the model prices fluctuate randomly around the market prices, indicating prima facie that the model performs quite well.
