Vinicius Albani is Assistant Professor at the Federal University of Santa Catarina, Brazil. He was a visiting professor at the Faculty of Mathematics of the University of Vienna, Austria and a postdoctoral researcher at IMPA. He obtained his PhD from IMPA, Rio de Janeiro in 2012, his M. Sc. from IMPA in 2008, and his B. Sc. from the Federal University of Rio de Janeiro in 2006.
This paper introduces a local volatility model for the valuation of options on commodity futures by using European vanilla option prices.