A generalized European option pricing model with risk management

被引：0
|
作者：
Feng, Chengxiao [1 ]
Tan, Jie [2 ]
Jiang, Zhenyu [3 ]
Chen, Shuang [1 ]
机构：
[1] Hubei University, Business School, China
[2] Sun Yat-sen University, School of Management, China
[3] Huazhong University of Science and Technology, School of Management, China
来源：
Physica A: Statistical Mechanics and its Applications | 2020年 / 545卷
基金：
中国国家自然科学基金;
关键词：
Characteristic functions - Inverse Fourier transforms - Levy process - Option pricing - Risk control systems - Risk-neutral measure - Stochastic interest rates - Stochastic volatility;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
47
引用
收藏
相关论文
共 50 条
  • [1] A generalized European option pricing model with risk management
    Feng, Chengxiao
    Tan, Jie
    Jiang, Zhenyu
    Chen, Shuang
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2020, 545
  • [2] On European and Asian option pricing in the generalized hyperbolic model
    Predota, M
    [J]. EUROPEAN JOURNAL OF APPLIED MATHEMATICS, 2005, 16 : 111 - 144
  • [3] Pricing European option under the generalized fractional jump-diffusion model
    Guo, Jingjun
    Wang, Yubing
    Kang, Weiyi
    [J]. FRACTIONAL CALCULUS AND APPLIED ANALYSIS, 2024, 27 (04) : 1917 - 1947
  • [4] European quanto option pricing in presence of liquidity risk
    Li, Zhe
    Zhang, Wei-Guo
    Liu, Yong-Jun
    [J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2018, 45 : 230 - 244
  • [5] OPTION PRICING FORMULAS FOR GENERALIZED FUZZY STOCK MODEL
    You, Cuilian
    Bo, Le
    [J]. JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2020, 16 (01) : 387 - 396
  • [6] European option pricing model in a stochastic and fuzzy environment
    LIU Wenqiong
    LI Shenghong
    [J]. Applied Mathematics:A Journal of Chinese Universities(Series B), 2013, 28 (03) : 321 - 334
  • [7] European option pricing model in a stochastic and fuzzy environment
    Wen-qiong Liu
    Sheng-hong Li
    [J]. Applied Mathematics-A Journal of Chinese Universities, 2013, 28 : 321 - 334
  • [8] European Option Pricing Under Fuzzy CEV Model
    Wei, Xinyue
    You, Cuilian
    Zhang, Yujie
    [J]. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2023, 196 (02) : 415 - 432
  • [9] European option pricing model based on data mining
    Zhu S.
    Zhang J.
    [J]. Advances in Information Sciences and Service Sciences, 2011, 3 (04): : 21 - 28
  • [10] European option pricing model in a stochastic and fuzzy environment
    Liu Wen-qiong
    Li Sheng-hong
    [J]. APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B, 2013, 28 (03) : 321 - 334
12345