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

DOI10.22124/JMM.2020.15948.1396zbMath1488.65507OpenAlexW3164461299MaRDI QIDQ5855722

Esfahani Mohammad Karimnejad, Abdolsadeh Neisy, Stefano De Marchi

Publication date: 19 March 2021

Full work available at URL: https://jmm.guilan.ac.ir/article_4234_4601c4bfd9ea42954940b31531be8371.pdf

zbMATH Keywords

initial and boundary value problemsjump-diffusion modelradial basis functions (RBF)oil futuresoil derivative market

Mathematics Subject Classification ID

Ill-posedness and regularization problems in numerical linear algebra (65F22) Microeconomic theory (price theory and economic markets) (91B24) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22) Numerical radial basis function approximation (65D12)

Related Items (1)

Radial polynomials as alternatives to flat radial basis functions

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Cites Work

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• An inverse finance problem for estimation of the volatility
• Implementing a Real Option Model for Valuing an Undeveloped Oil Field
• Option pricing when underlying stock returns are discontinuous

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