MODELING AMERICAN OPTION SWITCHING MODEL REGIME AND OIL DERIVATIVES

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NEISY ABDOLSEDEH

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Journal: Iranian Journal of Economic Research Year:2011 | Volume:16 | Issue:47 Page(s): 185-204

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Title

MODELING AMERICAN OPTION SWITCHING MODEL REGIME AND OIL DERIVATIVES

Author(s)

NEISY ABDOLSEDEH | Issue Writer Certificate

Keywords

DERIVATIVE AND AMERICAN OPTIONSQ2

OIL DERIVATIVESQ2

FINANCIAL MATHEMATICSQ2

INITIAL AND BOUNDARY VALUE PROBLEMSQ2

FINITE DIFFERENCEQ2

BLACK– SCHOLES MODELQ2

ITO LEMMAQ2

BROWNIAN MOTIONQ2

RISK AND PORTFOLIOQ2

Abstract

In this paper we are going to model stocks and derivatives markets by means of recent research work that can be used in Iran and explain some of the market shortages. For this, first we use Markov process properties and economic regimes phenomena for modeling underling asset price (stocks) by dynamic switching model regim. We then, using an American option on this asset we obtain a dynamic and new model. On the other hand, by considering the oil convenience yield of underling asset we extend a dynamic model with stochastic volatility for underlying asset for pricing futures of that asset and by some environmental changes to oil underlying asset, we will try to model the oil field-derivatives. Since in this paper we tried to introduce new models for financial markets and these models have not been used in Iran till now, we run them on some developed countries data by advanced numerical methods and MATLAB codes. Because global markets have an important effect on pricing financial quantities, it is necessary for top managers to consider these effects.

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APA: Copy

NEISY, ABDOLSEDEH. (2011). MODELING AMERICAN OPTION SWITCHING MODEL REGIME AND OIL DERIVATIVES. IRANIAN ECONOMIC RESEARCH, 16(47), 185-204. SID. https://sid.ir/paper/2797/en

Vancouver: Copy

NEISY ABDOLSEDEH. MODELING AMERICAN OPTION SWITCHING MODEL REGIME AND OIL DERIVATIVES. IRANIAN ECONOMIC RESEARCH[Internet]. 2011;16(47):185-204. Available from: https://sid.ir/paper/2797/en

IEEE: Copy

ABDOLSEDEH NEISY, “MODELING AMERICAN OPTION SWITCHING MODEL REGIME AND OIL DERIVATIVES,” IRANIAN ECONOMIC RESEARCH, vol. 16, no. 47, pp. 185–204, 2011, [Online]. Available: https://sid.ir/paper/2797/en

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