Uncertain strike lookback options pricing with floating interest rate

DOI10.1007/S11147-020-09170-4MaRDI QIDQ2036859zbMATH OpenOpenAlexFDO

Authors Yanmei Sun, Ziping Du, Xiangbo Meng, Lidong Zhang

Publication date 30 June 2021

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-020-09170-4

zbMATH Keywords

floating interest ratelookback optionuncertain processuncertain strike price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A new definition of independence of uncertain sets
• 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
• Advances in prospect theory: cumulative representation of uncertainty
• American option pricing formula for uncertain financial market
• Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation
• Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model
• Power options pricing in uncertain environment
• Prospect Theory: An Analysis of Decision under Risk
• Uncertain bimatrix game with applications
• Uncertainty theory
• Uncertainty theory

Cited in

(2)

• Option pricing based on uncertain fractional differential equation with floating interest rate
• Uncertain finance: a systematic review of recent advances

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