We present a new term-structure model for commodity futures prices based on Trolle and Schwartz (2009), which we extend by incorporating multiple jump processes. Our work explores the valuation of plain vanilla options on futures prices when the spot price follows a log-normal process, the forward cost of carry curve and the volatility are stochastic variables, and the spot price and the forward cost of carry allow for time-dampening jumps. We obtain an analytical representation of the characteristic function of the futures prices and, hence, also for plain vanilla option prices using the fast Fourier transform methodology. We price options on WTI crude oil futures contracts using our model and extant models. We obtain higher accuracy than earlier models and save significantly in computing time.

我们基于 Trolle 和 Schwartz (2009) 提出了一种新的商品期货价格期限结构模型，我们通过合并多个跳跃过程对其进行了扩展。我们的工作探讨了当现货价格遵循对数正态过程、远期套利成本曲线和波动率是随机变量、现货价格和远期套利成本允许时间时，普通普通期权对期货价格的估值。抑制跳跃。我们使用快速傅里叶变换方法获得了期货价格特征函数的分析表示，因此也获得了普通期权价格的分析表示。我们使用我们的模型和现有模型对 WTI 原油期货合约的期权进行定价。我们获得了比早期模型更高的精度，并显着节省了计算时间。