RT info:eu-repo/semantics/article
T1 Financial boundary conditions in a continuous model with discrete-delay for pricing commodity futures and its application to the gold market
A1 Gómez del Valle, María Lourdes
A1 López Marcos, Miguel Ángel
A1 Martínez Rodríguez, Julia
K1 Delay stochastic process
K1 Random partial differential equation
K1 Boundary conditions
K1 Numerical simulation
K1 Commodity futures
K1 Gold market
AB In this work, we approach the solution of a differential problem for pricing commodity futures when the spot price follows a stochastic diffusion process with memory, that is, it depends on two discrete times: the present instant and a delayed one. In this kind of models, a closed-form solution is not feasible to obtain and, in most of the cases, numerical methods should be applied. To this end, it is normal to introduce a bounded domain for the state variable, so suitable boundary conditions have to be established. The conditions based on mathematical reasons often introduce difficulties in the boundary and poor accuracy. Here, we propose new nonstandard boundary conditions based on some financial reasons and then, we face the numerical solution of the problem that arises. Some experiments are presented which show that the drawbacks in the behavior of the solutions are overcome, providing more accurate futures prices. This new procedure is implemented in order to obtain a more precise valuation of gold futures contracts traded on the Commodity Exchange Inc. (US).
PB Elsevier
SN 0960-0779
YR 2024
FD 2024
LK https://uvadoc.uva.es/handle/10324/73300
UL https://uvadoc.uva.es/handle/10324/73300
LA eng
NO Chaos, Solitons & Fractals, octubre 2024, vol. 187, 115476
NO Producción Científica
DS UVaDOC
RD 22-ene-2025