دانشگاه تبریز
فهرست نشریات دارای اعتبار وزارت علوم، تحقیقات و فناوری
پایگاه استنادی علوم جهان اسلام (ISC)

 آمار

تعداد نشریات45
تعداد شماره‌ها1,504
تعداد مقالات18,384
تعداد مشاهده مقاله59,651,470
تعداد دریافت فایل اصل مقاله20,908,398
Mohamadinegad, Reyhane, Neisy, Abdolsadeh, Biazar, Jafar. (1404). ADI numerical method for modeling stock insurance based on spread options. سامانه مدیریت نشریات علمی, 13(4), 1095-1101. doi: 10.22034/cmde.2024.59333.2524
Reyhane Mohamadinegad; Abdolsadeh Neisy; Jafar Biazar. "ADI numerical method for modeling stock insurance based on spread options". سامانه مدیریت نشریات علمی, 13, 4, 1404, 1095-1101. doi: 10.22034/cmde.2024.59333.2524
Mohamadinegad, Reyhane, Neisy, Abdolsadeh, Biazar, Jafar. (1404). 'ADI numerical method for modeling stock insurance based on spread options', سامانه مدیریت نشریات علمی, 13(4), pp. 1095-1101. doi: 10.22034/cmde.2024.59333.2524
Mohamadinegad, Reyhane, Neisy, Abdolsadeh, Biazar, Jafar. ADI numerical method for modeling stock insurance based on spread options. سامانه مدیریت نشریات علمی, 1404; 13(4): 1095-1101. doi: 10.22034/cmde.2024.59333.2524

ADI numerical method for modeling stock insurance based on spread options

Computational Methods for Differential Equations
مقاله 1، دوره 13، شماره 4، دی 2025، صفحه 1095-1101    اصل مقاله (974 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22034/cmde.2024.59333.2524
نویسندگان
Reyhane Mohamadinegad1؛ Abdolsadeh Neisy* 1؛ Jafar Biazar2
1Department of Mathematics, Faculty of Mathematics Science and Computer, Allameh Tabataba’i University, Tehran, Iran.
2Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran.
چکیده
This paper introduces a spread option model based on two underlying assets, namely Bandar Abbas oil refining (Shebandar) and Tehran oil refining (Shatran) companies. Regarding the available data of the former, we propose the jump-diffusion model for its dynamics. After constructing our portfolio, we first consider a partial integro-differential equation (PIDE) for the spread option model. Then, by making some alterations to the literature of the problem and parameters of the model, it is demonstrated that the assumed option can be considered as insurance, hedging the stocks mentioned above. The PIDE is solved by the well-known ADI numerical method. Finally, we utilize real data extracted from the Tehran Stock Exchange, and a reliable result is obtained by using MATLAB software.
کلیدواژه‌ها
Spread option pricing؛ Jump-diffusion model؛ Alternating Direction Implicit؛ Insurance؛ Numerical method
مراجع
  • [1] Y. Esmaeelzade Aghdam, H. Mesgarani, A. Amin, and J. F. Gomez-Aguilar, An Efficient Numerical Scheme to Approach the Time Fractional Black–Scholes Model Using Orthogonal Gegenbauer Polynomials, Computational Economics, 64(1) (2024), 1–14.
  • [2] Y. Esmaeelzade Aghdam, H. Mesgarani, G. M. Moremedi, and M. Khoshkhahtinat, High-accuracy numerical scheme for solving the space-time fractional advection-diffusion equation with convergence analysis, Alexandria Engineering Journal, 61(1) (2022), 217–225.
  • [3] Y. Esmaeelzade Aghdam, A. Neisy, and A. Adl, Simulating and Pricing CAT Bonds Using the Spectral Method Based on Chebyshev Basis, Computational Economics, 63(1) (2024), 423–435.
  • [4] S. Deng, B. Johnson, and A. Sogomonian, Exotic electricity options and the valuation of electricity generation and transmission assets, Decision Support Systems, 30(3) (2001), 383–392.
  • [5] D. Jeong and J. Kim, (2013), A comparison study of ADI and operator splitting methods on option pricing models, Journal of Computational and Applied Mathematics, 247 (2013), 162–171.
  • [6] V. Heidarpour-Dehkordi and C. Christina, Spread Option Pricing Using ADI Methods, International Journal of Numerical Analysis and Modeling, 15(3) (2018), 353–369.
  • [7] M. Karimnejad Esfahaniy, A. Neisy, and S. De Marchi, An RBF approach for oil futures pricing under the jump-diffusion model, Journal of Mathematical Modeling, 9(1) (2020), 81–92.
  • [8] G. I. Marchuk, Splitting and Alternating Direction Methods, Handbook of numerical analysis, 1 (1990), 197–462.
  • [9] H. Mesgarani, J. Rashidnina, Y. Esmaeelzade Aghdam, and O. Nikan, The impact of Chebyshev collocation method on solutions of fractional advection–diffusion equation, International Journal of Applied and Computational Mathematics, 6(5) (2020), 149–161.
  • [10] R. Mohamadinejad, J. Biazar, and A. Neisy, Spread Option Pricing Using Two Jump-Diffusion Interest Rates, U. Politech. Buch. Ser. A, 82(1) (2020), 171-182.
  • [11] R. Mohamadinejad, A. Neisy, and J. Biazar, ADI method of credit spread option pricing based on jump-diffusion model, Iranian Journal of Numerical Analysis and Optimization, 11(1) (2021), 195–210.
  • [12] Z. Rongxi, D. Sinan, Y. Mei, and Y. Fengmei, Pricing Credit Spread Option with Longstaff-Schwartz and GARCH Models in Chinese Bond Market, J Syst Sci Complex, 28(6) (2015), 1363–1373.
  • [13] M. Suarez-Taboada and C. Vazquez, A numerical method for pricing spread options on LIBOR rates with a PDE model, Mathematical and Computer Modeling, 52(8) (2010), 1074–1080.
  • [14] J. A. Unger, Pricing index-based catastrophe bonds: Part 1 Formulation and discretization issues using a numerical PDE approach, Computers & Geosciences, 36(2) (2010), 139–149.
آمار
تعداد مشاهده مقاله: 327
تعداد دریافت فایل اصل مقاله: 496


سامانه مدیریت نشریات علمی. قدرت گرفته از سیناوب