Barrier option pricing of mean-reverting stock model in uncertain environment
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Publication:1997677
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Cites work
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- A new option pricing model for stocks in uncertainty markets
- A numerical method for solving uncertain differential equations
- American option pricing formula for uncertain financial market
- Efficiently pricing double barrier derivatives in stochastic volatility models
- Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model
- Maximum drawdown insurance
- Mean-reverting stock model with floating interest rate in uncertain environment
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
- Uncertain contour process and its application in stock model with floating interest rate
- Uncertainty theory
Cited in
(27)- Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type
- European barrier option pricing formulas of uncertain currency model
- Equity warrants model based on uncertain exponential Ornstein-Uhlenbeck equation
- Equity warrants pricing problem of mean-reverting model in uncertain environment
- Barrier swaption pricing problem in uncertain financial market
- A new stock model for option pricing in uncertain environment
- Barrier option pricing and hedging model under stochastic conditions
- Carbon option pricing based on uncertain fractional differential equation: a binomial tree approach
- European option pricing under multifactor uncertain volatility model
- AN APPROXIMATE BARRIER OPTION MODEL FOR VALUING EXECUTIVE STOCK OPTIONS
- Reliability analysis of the uncertain fractional‐order dynamic system with state constraint
- Finite-time attractivity analysis for nonautonomous dynamical systems with uncertainty
- Optimal harvesting strategy based on uncertain logistic population model
- Reliability index and option pricing formulas of the first-hitting time model based on the uncertain fractional-order differential equation with Caputo type
- Bermudan options pricing formulas in uncertain financial markets
- Pricing of equity swaps in uncertain financial market
- Barrier option pricing formulas of an uncertain stock model
- Pricing rainbow option for uncertain financial market
- Parameter estimation of uncertain differential equation with application to financial market
- Uncertain finance: a systematic review of recent advances
- The evaluation of barrier option prices under stochastic volatility
- Asian rainbow option pricing formulas of uncertain stock model
- First hitting time about solution for an uncertain fractional differential equation and application to an uncertain risk index model
- A study of American option pricing for uncertain currency models with exponential O-U process
- Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market
- Lookback option pricing problem of mean-reverting stock model in uncertain environment
- Generalized finite integration method with Volterra operator for pricing multi-asset barrier option
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