Empirical study for uncertain finance

被引：1

作者：

Tang, Han ^{[1
]}

Li, Wenfei ^{[2
]}

机构：

[1] Tsinghua Univ, Dept Math Sci, Beijing, Peoples R China

[2] Renmin Univ China, Sch Math, Beijing 100872, Peoples R China

来源：

JOURNAL OF INTELLIGENT & FUZZY SYSTEMS | 2021年 / 40卷 / 05期

基金：

中国国家自然科学基金;

关键词：

Uncertain differential equation; geometric Liu process; uncertain exponential Ornstein-Uhlenbeck process; parameter estimation; European option pricing; STOCK MODEL;

D O I：

10.3233/JIFS-201955

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

Interest rate, stock and option are all important parts of finance. This paper applies uncertain differential equation to the study of the evolution of interest rate and stock price separately. Based on actual observations, we estimate the parameters in uncertain differential equation with the method of moments. Using the introduced interest rate and stock models, we price European options and compare the results with actual observations. Finally, a paradox of the stochastic financial model is stated.

引用

页码：9485 / 9492

页数：8

共 50 条

[21] Access to Finance: An Empirical Analysis
Arora, Rashmi Umesh
[J]. EUROPEAN JOURNAL OF DEVELOPMENT RESEARCH, 2014, 26 (05): : 798 - 814
[22] Access to Finance: An Empirical Analysis
Rashmi Umesh Arora
[J]. The European Journal of Development Research, 2014, 26 : 798 - 814
[23] The present and future of empirical finance
Granger, CWJ
[J]. FINANCIAL ANALYSTS JOURNAL, 2005, 61 (04) : 15 - 18
[24] The Hierarchy of Empirical Evidence in Finance
de Prado, Marcos Lopez
[J]. JOURNAL OF PORTFOLIO MANAGEMENT, 2023, 49 (09): : 10 - 29
[25] The Effects of Finance and Knowledge on Entrepreneurship Development: An Empirical Study from Bangladesh
Mehta, Ahmed Muneeb
Qamruzzaivian, Md
Serfraz, Ayesha
[J]. JOURNAL OF ASIAN FINANCE ECONOMICS AND BUSINESS, 2022, 9 (02): : 409 - 418
[26] Empirical Study on the Impact of Digital Finance on Commercial Credit Allocation in SMEs
Lin, Baoguo
Dong, Xueqin
[J]. FINANCE RESEARCH LETTERS, 2024, 61
[27] DISCRIMINATION IN URBAN HOUSING FINANCE - AN EMPIRICAL-STUDY ACROSS CITIES
SHEAR, WB
YEZER, AMJ
[J]. LAND ECONOMICS, 1985, 61 (03) : 292 - 302
[28] To Use or Not to Use: It Is a Question-An Empirical Study on the Adoption of Mobile Finance
Li, Gaoyong
Zhang, Xin
Zhang, Ge
[J]. SUSTAINABILITY, 2022, 14 (17)
[29] Access to finance and entrepreneurial intention An empirical study of Madagascan rural areas
Urban, Boris
Ratsimanetrimanana, Fenosoa
[J]. JOURNAL OF ENTERPRISING COMMUNITIES-PEOPLE AND PLACES IN THE GLOBAL ECONOMY, 2019, 13 (04) : 455 - 471
[30] Uncertain finance dogs defense spending hike
Mann, P
[J]. AVIATION WEEK & SPACE TECHNOLOGY, 2001, 154 (04): : 22 - 23

← 1 2 3 4 5 →