Pricing commodity index options
提出了一个随机局部波动率模型，用于对商品期货衍生品合约进行定价，能够同时恢复期货合约和期货策略指数的衍生品价格，并以标普高盛原油超额收益指数为例进行了校准和定价数值演示。
We present a stochastic local volatility model for derivative contracts on commodity futures. The aim of the model is to recover the prices of derivative claims both on future contracts and on indices on future strategies. Numerical examples for calibration and pricing are provided for the S&P GSCI Crude Oil excess-return index.