<t>Hi there,I want to price american futures options in the commodity market. Now I ask myself:- How good does the Black model for european futures options serve as a proxy?- Assuming deterministic interest rates, is there any price difference at all between european and american calls on a future u...

Under what conditions can american style options on commodity futures be treated like their european equivalents? Any hints in literature?

<r>Hi willsmith, thanks for your reply!I'm glad your observations regarding the crude oil contracts confirm the results of my present analysis Perhaps you can also help me with my question on pricing models: <URL url="http://www.wilmott.com/messageview.cfm?catid=8&threadid=75397"><LINK_TEXT text...

<t>Thanks Stale! Actually, Eydeland is also my favorite... Can you tell me anything about the benefits of spot price models compared to future price models? They seem to be more popular.I'm further looking for extensions of the standard one-factor Schwartz model, like time-dependent volatility or ti...

<t>I have found the following standard literature on commodity pricing:- Geman: Commodities and Commodity Derivatives Modeling and Pricing- Eydeland: Energy and Power Risk Management- Schofield: Commodity Derivatives: Markets and ApplicationsCan anyone add to this list?Do you further know which of t...

<t>I agree with you that viscosity is a good alternative measure for the liquidity of commodities However, a quite simple "benchmark rating" has come to my mind, namely the weights of commodies in commodity indexes such as DJ UBS CI. They partly derive their weights from liquidity arguments. Actuall...

<t>I'm already regarding bid ask spreads and open interest and i can indeed observe a correlation between futures and option liquidity.- I ask myself wether there is a source beyond bloomberg that i can use to validate my ranking? Not necessary raw trading data, some sort of study would also serve m...

<t>My challenge is to create some kind of liquidity ranking for (exchange traded) commodity options. I need this information in order to optimally chose calibration tools for a pricing model. Swaps are not relevant, yet i can imagine to include other otc contracts in my analysis.By now my approach i...

Which commodities are, in general, considered to be most liquidly traded?

<t>Hi everybody,I'm writing my masters thesis about pricing models in commodity markets.For calibration purposes, the liquidity of single commodity futures and options turns out to be an important issue.I ask myself- which indicators I should consider (e.g. number of contracts traded, trading volume...