Pricing and calibration of the futures options market: A unified approximation
研究了CEV模型及其带跳跃和带机制转换的变体在中国期货期权市场的校准表现，提出了一种结合连续时间马尔可夫链近似和动态规划的统一定价框架，发现CEV机制转换模型能更好描述豆粕期权市场的逆杠杆效应。
Abstract The constant elasticity of variance (CEV) model is widely used in modeling commodity futures prices, but it may not perform well in calibrating corresponding futures options. We consider two variations of the CEV model, that is, CEV with jumps and CEV with regime switching, and compare their performance in calibrating the Chinese futures options market. In particular, we propose a unified framework for pricing American futures options by combining the continuous‐time Markov chain approximation and the dynamic programming method. Results show that the inverse leverage effect in the soybean meal options market can be better described by the CEV regime‐switching model.