Due to the importance of oil revenue, studying the causes of oil price changes and attempt to produce predicting models is one of the most important issues in Iran’s economy. On the other hand, oil price volatility leads to difficulties in development planning. Empirical studies show that volatilities in oil prices have made structural bottlenecks in all aspects of Iran’s economy. Thus, understanding the mechanism of oil price formation can reduce the risk of oil price volatility and its negative impacts on Iran's economy. With the development of oil stock and oil futures market, the crude oil price formation has been changed in oil market. Thus, in short-term by changing the interest rate, the cash flow between financial markets and oil markets, diverts the crude oil price in its long term direction. In this paper, having the relationship between mentioned markets in short-term, the crude oil price diversion from its long-term direction is investigated. Using daily time series data of Iran's heavy crude oil for the period of 2005-13 and employing Fisher price jump model, Frankel theory, and multivariate GARCH technique, the relationship between different markets are estimated. The results show that using Urals crude oil price, in pricing strategy, gives a false signal in determining crude oil price in the Mediterranean and North West Europe markets.