A study of Greek letters of currency option under uncertainty environments

DOI10.1016/j.mcm.2009.10.041zbMath1190.91144MaRDI QIDQ984220

Hongyi Li, Weidong Xu, Wei-jun Xu, Wei-Guo Zhang

Publication date: 16 July 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2009.10.041

zbMATH Keywords

greeks; put-call parity; currency options; fuzzy estimators; garman-kohlhagen option pricing formula

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

26E60: Means

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Modeling chinese stock returns with stable distribution, Option pricing and the Greeks under Gaussian fuzzy environments, Options pricing with time changed Lévy processes under imprecise information, Corporate investment appraisal with possibilistic CAPM, Pricing currency option based on the extension principle and defuzzification via weighting parameter identification

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