Valuation of European crude oil options with co-jump diffusions and stochastic interest rate

DOI10.3934/JIMO.2022238MaRDI QIDQ2698596OpenAlexFDO

Authors Ren-Jie Han, Qing-Gang Tian, Dong Yan, Ben-Zhang Yang

Publication date 24 April 2023

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2022238

zbMATH Keywords

fast Fourier transformpartial integro-differential equationstochastic convenience yieldstochastic interest rateco-jump riskscrude oil options

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

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Cited in

(2)

• Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
• Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks

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