英文标题：
《Local Volatility Models in Commodity Markets and Online Calibration》
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作者：
Vinicius Albani, Uri M. Ascher and Jorge P. Zubelli
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最新提交年份：
2016
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英文摘要：
  We introduce a local volatility model for the valuation of options on commodity futures by using European vanilla option prices. The corresponding calibration problem is addressed within an online framework, allowing the use of multiple price surfaces. Since uncertainty in the observation of the underlying future prices translates to uncertainty in data locations, we propose a model-based adjustment of such prices that improves reconstructions and smile adherence. In order to tackle the ill-posedness of the calibration problem we incorporate a priori information through a judiciously designed Tikhonov-type regularization. Extensive empirical tests with market as well as synthetic data are used to demonstrate the effectiveness of the methodology and algorithms.
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中文摘要：
我们引入了一个局部波动模型，利用欧式期权价格对商品期货期权进行估值。相应的校准问题在在线框架内解决，允许使用多个价格面。由于潜在未来价格观察的不确定性转化为数据位置的不确定性，我们建议对此类价格进行基于模型的调整，以改进重建和保持一致性。为了解决校准问题的不适定性，我们通过精心设计的Tikhonov型正则化，加入了先验信息。利用市场和合成数据进行了广泛的实证检验，以证明该方法和算法的有效性。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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