3 papers
q-fin.PR2020
Pricing commodity swing options
Roberto Daluiso, Emanuele Nastasi, Andrea Pallavicini +1
In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic con…
q-fin.PR2019
A closed formula for illiquid corporate bonds and an application to the European market
Roberto Baviera, Aldo Nassigh, Emanuele Nastasi
We propose an option approach for pricing bond illiquidity that is reminiscent of the celebrated work of Longstaff (1995) on the non-marketability of some non-dividend-paying share…
q-fin.PR2018
Smile Modelling in Commodity Markets
Emanuele Nastasi, Andrea Pallavicini, Giulio Sartorelli
We present a stochastic-local volatility model for derivative contracts on commodity futures able to describe forward-curve and smile dynamics with a fast calibration to liquid mar…