University of Guilan Journal of Mathematical Modeling 2345-394X 9 1 2021 01 01 An RBF approach for oil futures pricing under the jump-diffusion model 81 92 4234 10.22124/jmm.2020.15948.1396 EN Mohammad Karimnejad Esfahani Department of Mathematics, Allameh Tabataba'i University, Iran Abdolsadeh Neisy Department of Mathematics, Allameh Tabataba'i University, Iran Stefano De Marchi Department of Mathematics "Tullio Levi-Civita", University of Padova, Italy Journal Article 2020 03 07 In this paper, our concern is to present and solve the problem of pricing oil futures. For this purpose, firstly we suggest a model based on the well-known Schwartz's model, in which the oil futures price is based on spot price of oil and convenience yield, however, the main difference here is that we have assumed that the former was imposed to some jumps, thus we added a jump term to the model of spot price. In our case, the oil future price model would be a Partial Integral Differential Equation (PIDE). Since, no closed form solution can be suggested for these kind of equations, we desire to solve our model with an appropriate numerical method. Although Finite Differences (FD) or Finite Elements (FE) is a common method for doing so, in this paper, we propose an alternative method based on Radial Basis Functions (RBF). https://jmm.guilan.ac.ir/article_4234_4601c4bfd9ea42954940b31531be8371.pdf