Implied Volatility Surface Construction for Commodity Futures Options Traded in China (Friday, March 15, 2019)

Department of Mathematics, Wilfrid Laurier University

Speaker

Professor Wei Xu, Department of Mathematics, Tongji University, Shanghai, China)

Title

Implied Volatility Surface Construction for Commodity Futures Options Traded in China

Abstract

The implied volatility for commodity futures options is difficult to calibrate in Chinese market for two reasons. One is that only American style option is traded; the other is the mean reverting property in the commodity price. Existing methods are too expensive to calibrate the implied volatility from market data. In this paper, we propose an intuitive and efficient willow tree method to resolve this problem. The implied volatility surfaces are constructed by the proposed method based on the sugar and soybean meal option daily prices in China. The results demonstrate the efficiency and accuracy of our method.

Date

Friday, March 15, 2019

Time

11 a.m. - 11:50 a.m.

Location

LH3058 (Lazaridis Hall, Room 3058)