d*********g
发帖数: 49 | 1 Anyone familiar with the pricing method for light sweet crude oil average
price option? The front contract switches during the average period, so it
is both Asian option and basket option. However I can't find any discussion
on this feature. Is there any standard way to modify the common Asian
pricing methods like Curran to price it? Any suggestions are welcome. |
s*********d
发帖数: 21 | 2 Energy 2 factor mean reverting model...It is very popular in oil trading
desks... |
H********k
发帖数: 3950 | 3 顶, like this thread.
Care to talk a bit more about the 2 factors?
I have a vague memory of this being mentioned somewhere.
Thanks!
【在 s*********d 的大作中提到】
: Energy 2 factor mean reverting model...It is very popular in oil trading
: desks...
|
d*********g
发帖数: 49 | 4 Is it used for trading futures or options?
【在 s*********d 的大作中提到】
: Energy 2 factor mean reverting model...It is very popular in oil trading
: desks...
|
s*********d
发帖数: 21 | 5 For swaptions and asian options. One factor is to capture the mean reversion
parameter and the additional one is for seasonality parameter. |
H********k
发帖数: 3950 | 6 顶
reversion
【在 s*********d 的大作中提到】
: For swaptions and asian options. One factor is to capture the mean reversion
: parameter and the additional one is for seasonality parameter.
|
