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
收藏
页码：9485 / 9492
页数：8
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