Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?

In this article we derive tractable analytic solutions for futures and options prices a linear-quadratic jump-diffusion model with seasonal adjustments in stochastic volatility convenience yield. We then calibrate our to data from the fish pool market, using extended Kalman filter quasi-maximum likelihood estimator alternatively an implied-state estimator. find no statistical evidence of jumps. However, do positive correlation between salmon spot volatility, seasonality addition observe relationship risk premium uncertainty EU demand. further show that produces option are conform observation implied smiles skews. Our work connects number results have recently appeared Operations Research literature.