Bermudan options pricing formulas in uncertain financial markets

DOI10.1016/j.chaos.2021.111327zbMath1498.91458OpenAlexW3195513686WikidataQ113878271 ScholiaQ113878271MaRDI QIDQ2169605

Zeyu Pan, Yin Gao, Yuan, Lin

Publication date: 29 August 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2021.111327

zbMATH Keywords

Liu processuncertain differential equationBermudan optionuncertain financial market

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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