2 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.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…