Modeling American Option Switching Model Regime and Oil Derivatives

In this paper we are going to model stocks and derivatives markets by means of recent research work that can be used in Iran and explain some of the market shortages. For this, first we use Markov process properties and economic regimes phenomena for modeling underling asset price (stocks) by dynamic switching model regim. We then, using an American option on this asset we obtain a dynamic and new model. On the other hand, by considering the oil convenience yield of underling asset we extend a dynamic model with stochastic volatility for underlying asset for pricing futures of that asset and by some environmental changes to oil underlying asset, we will try to model the oil field-derivatives. Since in this paper we tried to introduce new models for financial markets and these models have not been used in Iran till now, we run them on some developed countries data by advanced numerical methods and MATLAB codes. Because global markets have an important effect on pricing financial quantities, it is necessary for top managers to consider these effects.