Quasi-closed-form solution and numerical method for currency option with uncertain volatility model

DOI10.1007/S00500-020-04854-3MaRDI QIDQ2156574zbMATH OpenOpenAlexFDO

Authors Zhe Li, Yong-Jun Liu, Wei-Guo Zhang

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

zbMATH Keywords

currency option pricingRunge-Kutta-99 hybrid methoduncertain differential equationuncertain volatility modeluncertainty theory

Mathematics Subject Classification ID

Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• A mean-reverting currency model with floating interest rates in uncertain environment
• Pricing of European currency options with uncertain exchange rate and stochastic interest rates
• European barrier option pricing formulas of uncertain currency model
• A mean-reverting currency model in an uncertain environment
• An uncertain currency model with floating interest rates

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A mean-reverting currency model in an uncertain environment
• A mean-reverting currency model with floating interest rates in uncertain environment
• A numerical method for solving uncertain differential equations
• Adams method for solving uncertain differential equations
• Adams-Simpson method for solving uncertain differential equation
• American option pricing formula for uncertain financial market
• An equilibrium characterization of the term structure
• An uncertain currency model with floating interest rates
• Bang-bang control model for uncertain switched systems
• Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model
• Existence and uniqueness theorem for uncertain differential equations
• Hamming method for solving uncertain differential equations
• Milne method for solving uncertain differential equations
• Option pricing with mean reversion and stochastic volatility
• Regime switching in foreign exchange rates: Evidence from currency option prices
• The pricing of options and corporate liabilities
• Two-factor term structure model with uncertain volatility risk
• Uncertain contour process and its application in stock model with floating interest rate
• Uncertain differential equation with jumps
• Uncertain models on railway transportation planning problem
• Uncertainty theory
• Valuation of power option for uncertain financial market

Cited in

(12)

• A currency exchange rate model with jumps in uncertain environment
• Two-factor term structure model with uncertain volatility risk
• Moment equations in modeling a stable foreign currency exchange market in conditions of uncertainty
• Interest-rate products pricing problems with uncertain jump processes
• European barrier option pricing formulas of uncertain currency model
• Valuation of lookback option under uncertain volatility model
• Pricing of European currency options with uncertain exchange rate and stochastic interest rates
• A mean-reverting currency model with floating interest rates in uncertain environment
• A mean-reverting currency model in an uncertain environment
• European spread option pricing with the floating interest rate for uncertain financial market
• Uncertain finance: a systematic review of recent advances
• European option pricing under uncertain multifactor exponential Ornstein-Uhlenbeck volatility model

This page was built for publication: Quasi-closed-form solution and numerical method for currency option with uncertain volatility model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2156574)