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Capturing the power options smile by an additive two-factor model for overlapping[...]
Empirical study
Calibration
Introduction
Additive multifactor models for futures contracts in an overlapping arbitrage free framework
Additive multifactor NOA models
A two-factor model based on Normal Inverse Gaussian processes
Option pricing for additive models by Fourier transform methods
Calibration procedure
Discretization of model option prices
Parameters estimation
Black's formula
Single underlying contract
Non-overlapping futures
Whole market
Empirical study
Data description
Calibration
Results
Conclusion
Appendix
Inversion of the Fourier transform: Carr-Madan approach
Characteristic function of the two-factor NIG model
Figures
Arbeitspapier
Capturing the power options smile by an additive two-factor model for overlapping futures prices
Entstehung
2019
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