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ADI numerical method to modeling stock insurance based on spread options | ||
| Computational Methods for Differential Equations | ||
| مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 12 آبان 1403 اصل مقاله (1.59 M) | ||
| 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 dynamic. 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 aforementioned stocks. The PIDE is solved by the well-known ADI numerical method. Finally, we use the 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 | ||
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آمار تعداد مشاهده مقاله: 21 تعداد دریافت فایل اصل مقاله: 45 |
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