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Volatility Calibration of the Commodity Futures Model : 상품 선물옵션 모형의 변동성 추정 및 결과
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- Authors
- Advisor
- 최형인
- Major
- 자연과학대학 수리과학부
- Issue Date
- 2013-02
- Publisher
- 서울대학교 대학원
- Description
- 학위논문 (석사)-- 서울대학교 대학원 : 수리과학과, 2013. 2. 최형인.
- Abstract
- In this thesis, we calibrate a volatility function of a commodity future option model with respect to maturity and strike price. Here, the commodity future option model is suggested in 'FinancialModels and Products of Commodity Futures' by Jun Yeol Kim. First, we assume that the volatility function has only one variable
future maturity, and is cubic equation. Then we calibrate the volatility function of future option based on corn commodity. Secondly, we assume that the volatility function has two variables
future maturity and strike price. Then we calibrate the volatility function of future option based on corn commodity. At last, we do regression of the implied volatilities of the corn future options and compare the volatility approximations to the implied volatilities. Furthermore, we consider the validity of the assumption model and calibration results.
- Language
- English
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