user

A mean-reverting currency model in an uncertain environment

被引：28
|
作者：
Shen, Yuanyuan [1 ]
Yao, Kai [2 ,3 ]
机构：
[1] Tsinghua Univ, Dept Math Sci, Beijing 100084, Peoples R China
[2] Univ Chinese Acad Sci, Sch Management, Beijing 100190, Peoples R China
[3] Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing 100190, Peoples R China
来源：
SOFT COMPUTING | 2016年 / 20卷 / 10期
基金：
中国国家自然科学基金;
关键词：
Uncertainty theory; Uncertain differential equation; Currency model; Option pricing; STOCK MODEL;
D O I：
10.1007/s00500-015-1748-8
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Uncertain finance has shown great significance in managing financial cases such as stock prices and currency options. Early researchers have put up some currency models to describe the foreign exchange rate. This paper proposes a mean-reverting currency model to describe the foreign change rate in the long term, and derives its European and American option pricing formulas. Besides, it gives some numerical examples to illustrate the formulas.
引用
下载
收藏
页码：4131 / 4138
页数：8
相关论文
共 50 条
  • [1] A mean-reverting currency model in an uncertain environment
    Yuanyuan Shen
    Kai Yao
    Soft Computing, 2016, 20 : 4131 - 4138
  • [2] A MEAN-REVERTING CURRENCY MODEL WITH FLOATING INTEREST RATES IN UNCERTAIN ENVIRONMENT
    Wang, Weiwei
    Chen, Ping
    JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2019, 15 (04) : 1921 - 1936
  • [3] Lookback option pricing problem of uncertain mean-reverting currency model
    Yang Liu
    Liying Liu
    Soft Computing, 2021, 25 : 14785 - 14795
  • [4] Lookback option pricing problem of uncertain mean-reverting currency model
    Liu, Yang
    Liu, Liying
    SOFT COMPUTING, 2021, 25 (23) : 14785 - 14795
  • [5] Mean-reverting stock model with floating interest rate in uncertain environment
    Yiyao Sun
    Taoyong Su
    Fuzzy Optimization and Decision Making, 2017, 16 : 235 - 255
  • [6] Equity warrants pricing problem of mean-reverting model in uncertain environment
    Tian, Miao
    Yang, Xiangfeng
    Kar, Samarjit
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 531
  • [7] Barrier swaption pricing formulae of mean-reverting model in uncertain environment
    Lu, Jing
    Yang, Xiangfeng
    Tian, Miao
    CHAOS SOLITONS & FRACTALS, 2022, 160
  • [8] Barrier option pricing of mean-reverting stock model in uncertain environment
    Tian, Miao
    Yang, Xiangfeng
    Zhang, Yi
    MATHEMATICS AND COMPUTERS IN SIMULATION, 2019, 166 : 126 - 143
  • [9] Mean-reverting stock model with floating interest rate in uncertain environment
    Sun, Yiyao
    Su, Taoyong
    FUZZY OPTIMIZATION AND DECISION MAKING, 2017, 16 (02) : 235 - 255
  • [10] LOOKBACK OPTION PRICING PROBLEM OF MEAN-REVERTING STOCK MODEL IN UNCERTAIN ENVIRONMENT
    Tian, Miao
    Yang, Xiangfeng
    Zhang, Yi
    JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2021, 17 (05) : 2703 - 2714
12345