Barrier option pricing of mean-reverting stock model in uncertain environment
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Publication:1997677
DOI10.1016/J.MATCOM.2019.04.009OpenAlexW2946244885MaRDI QIDQ1997677FDOQ1997677
Authors: Yanyan Li 
Publication date: 2 March 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2019.04.009
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Cites Work
- Title not available (Why is that?)
- Uncertainty theory
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
- Maximum drawdown insurance
- A new option pricing model for stocks in uncertainty markets
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- Efficiently pricing double barrier derivatives in stochastic volatility models
- American option pricing formula for uncertain financial market
- A numerical method for solving uncertain differential equations
- Uncertain contour process and its application in stock model with floating interest rate
- Mean-reverting stock model with floating interest rate in uncertain environment
- Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model
Cited In (22)
- 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
- European option pricing under multifactor uncertain volatility model
- Reliability analysis of the uncertain fractional‐order dynamic system with state constraint
- AN APPROXIMATE BARRIER OPTION MODEL FOR VALUING EXECUTIVE STOCK OPTIONS
- 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
- Pricing rainbow option for uncertain financial market
- 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
- Parameter estimation of uncertain differential equation with application to financial market
- 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
- Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market
- Generalized finite integration method with Volterra operator for pricing multi-asset barrier option
- Lookback option pricing problem of mean-reverting stock model in uncertain environment
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