Quasi-closed-form solution and numerical method for currency option with uncertain volatility model
DOI10.1007/s00500-020-04854-3zbMath1492.91381OpenAlexW3010694291MaRDI QIDQ2156574
Zhe Li, Wei-Guo Zhang, Yong-Jun Liu
Publication date: 18 July 2022
Published in: Soft Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00500-020-04854-3
uncertain volatility modeluncertainty theoryuncertain differential equationcurrency option pricingRunge-Kutta-99 hybrid method
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)
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