Issue |
MATEC Web Conf.
Volume 100, 2017
13th Global Congress on Manufacturing and Management (GCMM 2016)
|
|
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Article Number | 04042 | |
Number of page(s) | 4 | |
Section | Part 4: Equipment manufacturing and New materials | |
DOI | https://doi.org/10.1051/matecconf/201710004042 | |
Published online | 08 March 2017 |
Research on the Price Features of Oil Stochastic Model Based on the Continuous Jump Model
1 School of Management, Wuhan University of Technology, Wuhan, China, 430074
2 School of Engineering, University of Florida, Gainesville, FL, US
* Corresponding author: 2426935187@qq.com
Aiming at calculating the price changes under the price features of oil stochastic model, the continuous jump model is proposed in this paper for data processing. The procedure is flexible, may be used with market prices of any oil contingent claim with closed form pricing solution, and easily deals with missing data problems. The results show that the accuracy can thus be improved overall the proposed system substantially.
© The Authors, published by EDP Sciences, 2017
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