Seasonality in commodity prices: new approaches for pricing plain vanilla options
基于Trolle和Schwartz（2009）模型，引入两种正弦表达式刻画季节性随机波动率，推导出期货对数价格特征函数的准解析解，并利用快速傅里叶变换得到欧式期权闭式定价公式。在Henry Hub天然气期货期权上，新模型比现有模型精度更高。
Abstract We present a new term-structure model for commodity futures prices based on Trolle and Schwartz (2009), which we extend by incorporating seasonal stochastic volatility represented with two different sinusoidal expressions. We obtain a quasi-analytical representation of the characteristic function of the futures log-prices and closed-form expressions for standard European options’ prices using the fast Fourier transform algorithm. We price plain vanilla options on the Henry Hub natural gas futures contracts, using our model and extant models. We obtain higher accuracy levels with our model than with the extant models.