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.
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页码：4131 / 4138
页数：8
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