Critical value-based Asian option pricing model for uncertain financial markets
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Publication:2159643
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Cites work
- scientific article; zbMATH DE number 1136276 (Why is no real title available?)
- scientific article; zbMATH DE number 2217537 (Why is no real title available?)
- A new option pricing model for stocks in uncertainty markets
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- Accurate pricing formulas for Asian options
- American option pricing formula for uncertain financial market
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- Bang-bang control model for uncertain switched systems
- European option pricing model based on uncertain fractional differential equation
- Mean-reverting stock model with floating interest rate in uncertain environment
- Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
- Pricing Asian options in a stochastic volatility model with jumps
- Quasi-Monte Carlo Methods in Numerical Finance
- Risk metrics of loss function for uncertain system
- The valuation of European options in uncertain environment
- Theory and practice of uncertain programming.
- Uncertain contour process and its application in stock model with floating interest rate
- Uncertain fractional differential equations and an interest rate model
- Uncertain optimal control with application to a portfolio selection model
- Uncertain stock model with periodic dividends
- Uncertainty theory
- Value-at-risk in uncertain random risk analysis
Cited in
(17)- Option pricing based on uncertain fractional differential equation with floating interest rate
- Solutions of linear uncertain fractional order neutral differential equations
- Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
- A fixed charge transportation problem with damageable items under uncertain environment
- Parameter estimation for uncertain fractional differential equations
- Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
- Computing the reliability of mixed uncertain random \(k\)-out-of-\(n\) systems with multiple possible states
- On Caputo-Hadamard uncertain fractional differential equations
- A new model for pricing the options in Islamic finance
- Asian-barrier option pricing formulas of uncertain financial market
- Option pricing formulas based on uncertain fractional differential equation
- Asian option pricing under an uncertain volatility model
- scientific article; zbMATH DE number 7448758 (Why is no real title available?)
- Power option pricing under the unstable conditions (evidence of power option pricing under fractional Heston model in the Iran gold market)
- Age-structured population model under uncertain environment
- Analysis of a class of dynamic programming models for multi-stage uncertain systems
- Valuation of convertible bond based on uncertain fractional differential equation
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