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From: Ashish B. <ash...@gm...> - 2022-12-02 13:02:38
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Interest rates work with shifted log normal. Would commodity prices work with that? Do you have any reference where i can see what adjustments to make for shifting the CM prices. Ashish On Fri, 2 Dec 2022 at 18:26, Philippe Hatstadt < phi...@ex...> wrote: > How about shifted log normal? > > Regards > > Philippe Hatstadt > +1-203-252-0408 > > > On Dec 2, 2022, at 7:54 AM, Ashish Bansal <ash...@gm...> wrote: > > > Thanks a lot Philippe and Jonathan for the help. Really appreciate it. > > On Fri, 2 Dec 2022 at 18:12, Jonathan Sweemer <sw...@gm...> wrote: > >> Generally you wouldn't use the Black-Scholes model to price options on >> calendar spreads because the assumption of geometric Brownian motion is not >> valid. >> >> As a first step, you might consider using an arithmetic Brownian motion, >> which can go negative. Iain Clark's excellent book briefly mentions this in >> a footnote on page 13. >> >> >> https://books.google.co.kr/books?id=7vua-0-2sgMC&pg=PT31&source=gbs_toc_r&cad=3#v=onepage&q&f=false >> >> There are some Bachelier functions in QuantLib that don't appear to >> require a positive strike but I haven't used them before, so I might be >> wrong. Seems like a good place to start though. >> >> >> https://github.com/lballabio/QuantLib/blob/master/ql/pricingengines/blackformula.cpp#L704 >> >> For more advanced modeling of this product, you'll probably have to >> implement something bespoke. >> >> >> On Fri, Dec 2, 2022 at 6:55 PM Ashish Bansal <ash...@gm...> >> wrote: >> >>> Hi, >>> >>> I use the Blackscholes engine to evaluate the commodity options. >>> However, it supports only positive strikes and throws error for a negative >>> strike. >>> >>> Now, I wish to evaluate the spread options traded on CBOT: >>> Consecutive Corn CSO Quotes - CME Group >>> <https://www.cmegroup.com/markets/agriculture/grains/corn.quotes.options.html#optionProductId=2730> >>> >>> How can I evaluate these using Quantlib? Any suggestions on the correct >>> engine to use which supports the negative strike? >>> >>> Thanks >>> Ashish Bansal >>> _______________________________________________ >>> QuantLib-users mailing list >>> Qua...@li... >>> https://lists.sourceforge.net/lists/listinfo/quantlib-users >>> >> _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users > > > Broker-Dealer services offered through Exos Securities LLC, member of SIPC > <http://www.sipc.org/> / FINRA <http://www.finra.org/> / BrokerCheck > <https://brokercheck.finra.org/>/ 2022 Exos, inc. For important > disclosures, click here > <https://www.exosfinancial.com/general-disclosures>. > > > |