A currency exchange rate model with jumps in uncertain environment

DOI10.1007/S00500-016-2141-YzbMATH Open1409.91236OpenAlexW2335711232MaRDI QIDQ1701985FDOQ1701985

Authors Xiaoyu Ji, H. S. Wu

Publication date 27 February 2018

Published in Soft Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00500-016-2141-y

zbMATH Keywords

uncertainty theoryoption pricing formulacurrency modeluncertain differential equation with jumps

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• A mean-reverting currency model in an uncertain environment
• A new option pricing model for stocks in uncertainty markets
• A note on uncertain sequence
• A numerical method for solving uncertain differential equations
• A stock model with jumps for uncertain markets
• Almost sure stability for uncertain differential equation with jumps
• American option pricing formula for uncertain financial market
• Existence and uniqueness theorem for uncertain differential equations
• Optimistic value model of uncertain optimal control
• Option pricing for an uncertain stock model with jumps
• Path optimality conditions for minimum spanning tree problem with uncertain edge weights
• SOME PROPERTIES OF CONTINUOUS UNCERTAIN MEASURE
• Sine entropy for uncertain variables
• Uncertain calculus with renewal process
• Uncertain decision making and its application to portfolio selection problem
• Uncertain differential equation with jumps
• Uncertain differential equations
• Uncertain stock model with periodic dividends
• Uncertain term structure model of interest rate
• Uncertainty theory

Cited in

(11)

• An uncertain currency model with floating interest rates
• Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data
• Interest-rate products pricing problems with uncertain jump processes
• Moment equations in modeling a stable foreign currency exchange market in conditions of uncertainty
• Pricing of European currency options with uncertain exchange rate and stochastic interest rates
• Valuing currency swap contracts in uncertain financial market
• First hitting time of uncertain random renewal reward process and its application in insurance risk process
• Uncertain hypothesis test for uncertain differential equations
• International investing in uncertain financial market
• A stochastic simulation model of an optimum currency area
• Bermudan options pricing formulas in uncertain financial markets

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