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Karimnejad Esfahani, Mohammad, Neisy, Abdolsadeh, De Marchi, Stefano. (1399). An RBF approach for oil futures pricing under the jump-diffusion model. فیزیولوژی و بیوتکنولوژی آبزیان, 9(1), 81-92. doi: 10.22124/jmm.2020.15948.1396
Mohammad Karimnejad Esfahani; Abdolsadeh Neisy; Stefano De Marchi. "An RBF approach for oil futures pricing under the jump-diffusion model". فیزیولوژی و بیوتکنولوژی آبزیان, 9, 1, 1399, 81-92. doi: 10.22124/jmm.2020.15948.1396
Karimnejad Esfahani, Mohammad, Neisy, Abdolsadeh, De Marchi, Stefano. (1399). 'An RBF approach for oil futures pricing under the jump-diffusion model', فیزیولوژی و بیوتکنولوژی آبزیان, 9(1), pp. 81-92. doi: 10.22124/jmm.2020.15948.1396
Karimnejad Esfahani, Mohammad, Neisy, Abdolsadeh, De Marchi, Stefano. An RBF approach for oil futures pricing under the jump-diffusion model. فیزیولوژی و بیوتکنولوژی آبزیان, 1399; 9(1): 81-92. doi: 10.22124/jmm.2020.15948.1396

An RBF approach for oil futures pricing under the jump-diffusion model

Journal of Mathematical Modeling
دوره 9، شماره 1، فروردین 2021، صفحه 81-92    اصل مقاله (590.48 K)
نوع مقاله: Research Article
شناسه دیجیتال (DOI): 10.22124/jmm.2020.15948.1396
نویسندگان
Mohammad Karimnejad Esfahani1؛ Abdolsadeh Neisy* 1؛ Stefano De Marchi2
1Department of Mathematics, Allameh Tabataba'i University, Iran
2Department of Mathematics "Tullio Levi-Civita", University of Padova, Italy
چکیده
In this paper, our concern is to present and solve the problem of pricing oil futures. For this purpose, firstly we suggest a model based on the well-known Schwartz's model, in which the oil futures price is based on spot price of oil and convenience yield, however, the main difference here is that we have assumed that the former was imposed to some jumps, thus we added a jump term to the model of spot price. In our case, the oil future price model would be a Partial Integral Differential Equation (PIDE). Since, no closed form solution can be suggested for these kind of equations, we desire to solve our model with an appropriate numerical method. Although Finite Differences (FD) or Finite Elements (FE) is a common method for doing so, in this paper, we propose an alternative method based on Radial Basis Functions (RBF).
کلیدواژه‌ها
Oil derivative market؛ Radial Basis Functions (RBF)؛ Oil futures؛ initial and boundary value problems؛ jump-diffusion model
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