Knock-in options of an uncertain stock model with floating interest rate

DOI10.1016/J.CHAOS.2020.110324MaRDI QIDQ2128141zbMATH OpenOpenAlexFDO

Authors Lifen Jia, Wei Chen

Publication date 21 April 2022

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2020.110324

zbMATH Keywords

barrier optionuncertain differential equationuncertain financeoption pricing formula

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

• scientific article; zbMATH DE number 6834283 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A necessary condition of optimality for uncertain optimal control problem
• A numerical method for solving uncertain differential equations
• Adams method for solving uncertain differential equations
• Adams-Simpson method for solving uncertain differential equation
• Almost sure stability for uncertain differential equation
• American option pricing formula for uncertain financial market
• Asian-barrier option pricing formulas of uncertain financial market
• Existence and uniqueness theorem for uncertain differential equations
• First hitting time about solution for an uncertain fractional differential equation and application to an uncertain risk index model
• Hamming method for solving uncertain differential equations
• Milne method for solving uncertain differential equations
• Parameter estimation in uncertain differential equations
• Some stability theorems of uncertain differential equation
• Stability in inverse distribution for uncertain differential equations
• Stability in mean for uncertain differential equation
• The pricing of options and corporate liabilities
• Uncertain contour process and its application in stock model with floating interest rate
• Uncertain differential equations
• Uncertainty theory

Cited in

(2)

• Exponential Ornstein-Uhlenbeck model for Asian barrier option pricing in uncertain environment
• Valuation of lookback option under uncertain volatility model

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