European option pricing under multifactor uncertain volatility model
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A new option pricing model for stocks in uncertainty markets
- A numerical method for solving uncertain differential equations
- A stock model with jumps for uncertain markets
- American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis
- An uncertain currency model with floating interest rates
- Asian-barrier option pricing formulas of uncertain financial market
- Barrier option pricing of mean-reverting stock model in uncertain environment
- Equity warrants pricing problem of mean-reverting model in uncertain environment
- Existence and uniqueness theorem for uncertain differential equations
- Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation
- Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model
- On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option
- Option pricing for an uncertain stock model with jumps
- Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps
- Pricing of European currency options with uncertain exchange rate and stochastic interest rates
- The pricing of options and corporate liabilities
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- Uncertain contour process and its application in stock model with floating interest rate
- Uncertain stock model with periodic dividends
- Uncertainty distribution and independence of uncertain processes
- Uncertainty theory
- Uncertainty theory
- Valuation of European option under uncertain volatility model
Cited in
(20)- European option based R\&D investment decision making under uncertainties
- Valuation of European option under uncertain volatility model
- Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region
- On Parisian option pricing for uncertain currency model
- Valuation of lookback option under uncertain volatility model
- European option pricing under fuzzy CEV model
- scientific article; zbMATH DE number 6719886 (Why is no real title available?)
- Multivariate European option pricing in a Markov-modulated Lévy framework
- Power options pricing in uncertain environment
- Valuation of European Options Under an Uncertain Market Price of Volatility Risk
- Uncertain energy model for electricity and gas futures with application in spark-spread option price
- Optimal control for uncertain random continuous-time systems
- Calibration of European option pricing model in uncertain environment: valuation of uncertainty implied volatility
- Pricing European call options with interval-valued volatility and interest rate
- Uncertain finance: a systematic review of recent advances
- A study of American option pricing for uncertain currency models with exponential O-U process
- European option pricing under uncertain multifactor exponential Ornstein-Uhlenbeck volatility model
- A neural network-based method for pricing American options and assessing implied volatility under uncertainty
- Estimation of parameters and valuation of options written on multiple assets described by uncertain fractional differential equations
- Optimal control and zero-sum game subject to multifactor uncertain random systems with jump
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