Lookback option pricing problem of uncertain mean-reverting currency model

被引：0
|
作者：
Yang Liu
Liying Liu
机构：
[1] Liaocheng University,School of Business
[2] Liaocheng University,School of Mathematical Sciences
来源：
Soft Computing | 2021年 / 25卷
关键词：
Uncertainty theory; Uncertain differential equation; Lookback option pricing; Currency model;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
A lookback option is a maturity option that pays off based on the maximum or minimum stock price over the life of the option. This paper investigates the problem of pricing a lookback option based on the uncertain mean-reverting currency model and designs the algorithms to calculate the formulations. Furthermore, discussions about parameters and results are drawn in the paper.
引用
收藏
页码：14785 / 14795
页数：10
相关论文
共 50 条
  • [21] Uncertain exponential currency model and currency option pricing
    Li, Xiaokang
    Sheng, Yuhong
    SOFT COMPUTING, 2022, 26 (24) : 13369 - 13380
  • [22] On Parisian option pricing for uncertain currency model
    Deng, Jie
    Qin, Zhongfeng
    CHAOS SOLITONS & FRACTALS, 2021, 143
  • [23] Option pricing under jump-diffusion models with mean-reverting bivariate jumps
    Miao, Daniel Wei-Chung
    Lin, Xenos Chang-Shuo
    Chao, Wan-Ling
    OPERATIONS RESEARCH LETTERS, 2014, 42 (01) : 27 - 33
  • [24] AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER
    Nonsoong, P.
    Mekchay, K.
    Rujivan, S.
    ANZIAM JOURNAL, 2021, 63 (02): : 178 - 202
  • [25] Mean-reverting stock model with floating interest rate in uncertain environment
    Yiyao Sun
    Taoyong Su
    Fuzzy Optimization and Decision Making, 2017, 16 : 235 - 255
  • [26] Valuation of stock loan under uncertain mean-reverting stock model
    Shi, Gang
    Zhang, Zhiqiang
    Sheng, Yuhong
    JOURNAL OF INTELLIGENT & FUZZY SYSTEMS, 2017, 33 (03) : 1355 - 1361
  • [27] Valuation of convertible bond under uncertain mean-reverting stock model
    Zhiqiang Zhang
    Weiqi Liu
    Xindong Zhang
    Journal of Ambient Intelligence and Humanized Computing, 2017, 8 : 641 - 650
  • [28] Valuation of convertible bond under uncertain mean-reverting stock model
    Zhang, Zhiqiang
    Liu, Weiqi
    Zhang, Xindong
    JOURNAL OF AMBIENT INTELLIGENCE AND HUMANIZED COMPUTING, 2017, 8 (05) : 641 - 650
  • [29] A new stock loan problem based on the mean-reverting equation in an uncertain environment
    Yan, Xiaojing
    Yang, Xiangfeng
    Zhang, Peng
    Zhang, Ziqian
    SOFT COMPUTING, 2022, 26 (06) : 2741 - 2750
  • [30] A new stock loan problem based on the mean-reverting equation in an uncertain environment
    Xiaojing Yan
    Xiangfeng Yang
    Peng Zhang
    Ziqian Zhang
    Soft Computing, 2022, 26 : 2741 - 2750
12345