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https://hdl.handle.net/2183/49348 Pricing with Rough Bergomi Model in Commodity Markets
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Daluiso, R., Folgar-Cameán, H., Pallavicini, A., & Vázquez, C. (2026). Pricing with Rough Bergomi Model in Commodity Markets. In Proceedings XoveTIC 2025: Impulsando el talento científico (pp. 31-38). Servizo de Publicacións UDC. https://doi.org/10.17979/spu.23.c14
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[Abstract] In this work, we present an analysis of the applicability of rough volatility in commodity markets. We propose a rough volatility model for pricing European options on commodity futures, based on the work of Nastasi et al. (2020). Furthermore, we present an efficient numerical scheme for simulating the model and calibrating it to real market data on WTI crude oil.
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Presentado en: VIII Congreso Xove TIC: impulsando el talento científico. Octubre, 2025, A Coruña.
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Attribution-NonCommercial-NoDerivatives 4.0 International
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 International