Hi , I am currently trying to model and price and asian option on base and precious metals using the Levy approximation. I`m unsure of what my inputs should be and how i should adjust the model for  a commodity.
If anybody has done this or knows more about commodity pricing, your assistance will be appreciated

regards

There is an LME paper which you can request from the exchange in London which uses a paper by Les Clewlow which used this method for creating the exchange traded asian options. This paper should be able to answer most of your questions on base.

Another company who has information on this is BRADY - they designed a metals trading system way back in the 90's which has had some serious work done to it since. The company I worked for then was heavily involved in designing the system for base and precious metals trading and later on for energy trading.

What exactly are you trying to price and perhaps by spelling out I might see where your issues lie.

Thanks for getting back to me, i'm trying to price asian options on silver and zinc. I'm unsure of the inputs as the different approximations that i have used do not allow me to input a start and an end . Also would like to revalue these for a mtm

How does your averaging period operate?

In equities, Asian options tend to have distinct observations.

In commodities, if you were to ask for 1yr Asian option wtih monthly observations then i would take this to mean that you are averaging every single day with settlement on a monthly basis.

I will check at home for papers, but a lot of my things are in boxes or in storage and so it might not be so easy to find them.

I will try and help as much as I can, but I do know the LME has the paper which will help you tremendously.