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Sponsored Artificial Intelligence: A Modern Approach, Global Edition Artificial Intelligence: A Modern Approach, Global Edition

Author

F. Viens

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Preprint Sep 2026

Surface-Driven Stochastic Volatility for Commodity Options: Identification of Stochastic Vol-of-Vol and Leverage from Smile Dynamics

Commodity option surfaces contain information beyond the at-the-money volatility level. We develop a surface-driven stochastic-volatility framework for soybean futures options using daily Chicago Mercantile Exchange Group Volatility Index (CME CVOL) indicators from October 2013 to August 2025. The ATM level and convexi...

Arthur Steve Tchoneteck, Ting-Jia Zhang, F. Viens · 0 citations

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