Piccirilli, Marco; Schmeck, Maren Diane; Vargiolu, Tiziano: Capturing the power options smile by an additive two-factor model for overlapping futures prices. In: . Jg.625. 2019, S. 34 ff.
Inhalt
- Introduction
- Additive multifactor models for futures contracts in an overlapping arbitrage free framework
- Option pricing for additive models by Fourier transform methods
- Calibration procedure
- Empirical study
- Conclusion
- Appendix
- Inversion of the Fourier transform: Carr-Madan approach
- Characteristic function of the two-factor NIG model
- Figures