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
  • [31] Valuing foreign currency options with a mean-reverting process: A study of Hong Kong dollar
    Hui, C. H.
    Lo, C. F.
    Yeung, V.
    Fung, L.
    INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2008, 13 (01) : 118 - 134
  • [32] A GENERALIZED MEAN-REVERTING EQUATION AND APPLICATIONS
    Marie, Nicolas
    ESAIM-PROBABILITY AND STATISTICS, 2014, 18 : 799 - 828
  • [33] Optimal Control of a Mean-Reverting Inventory
    Cadenillas, Abel
    Lakner, Peter
    Pinedo, Michael
    OPERATIONS RESEARCH, 2010, 58 (06) : 1697 - 1710
  • [34] Are stock returns still mean-reverting?
    Mukherji, Sandip
    REVIEW OF FINANCIAL ECONOMICS, 2011, 20 (01) : 22 - 27
  • [35] A pure-jump mean-reverting short rate model
    Hess, Markus
    MODERN STOCHASTICS-THEORY AND APPLICATIONS, 2020, 7 (02): : 113 - 134
  • [36] Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment
    Fouque, Jean-Pierre
    Hu, Ruimeng
    SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2018, 9 (02): : 564 - 601
  • [37] ENVIRONMENTAL VARIABILITY AND MEAN-REVERTING PROCESSES
    Allen, Edward
    DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2016, 21 (07): : 2073 - 2089
  • [38] Mean-Reverting Portfolio With Budget Constraint
    Zhao, Ziping
    Palomar, Daniel P.
    IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2018, 66 (09) : 2342 - 2357
  • [39] Filtering for fast mean-reverting processes
    Papanicolaou, Andrew
    ASYMPTOTIC ANALYSIS, 2010, 70 (3-4) : 155 - 176
  • [40] Optimal Portfolios of Mean-Reverting Instruments
    Dmitrasinovic-Vidovic, Gordana
    Ware, Antony
    SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2011, 2 (01): : 748 - 767
12345