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

zbMATH Keywords

uncertain volatility modeluncertainty theoryuncertain differential equationcurrency option pricingRunge-Kutta-99 hybrid method

Mathematics Subject Classification ID

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)

Related Items (2)

Valuation of lookback option under uncertain volatility model ⋮ Interest-rate products pricing problems with uncertain jump processes

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