Pricing of equity swaps in uncertain financial market

DOI10.1016/j.chaos.2021.111673zbMath1498.91466OpenAlexW4200304705MaRDI QIDQ2170340

Yongjiu Yu, Xiangfeng Yang, Qing Lei

Publication date: 2 September 2022

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

Full work available at URL: https://doi.org/10.1016/j.chaos.2021.111673

zbMATH Keywords

uncertain differential equationYao-Chen formulaover-the-counter derivativesequity swaps

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption

Cites Work

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• Uncertain contour process and its application in stock model with floating interest rate
• Valuation of interest rate ceiling and floor in uncertain financial market
• Mean-reverting stock model with floating interest rate in uncertain environment
• Uncertain term structure model of interest rate
• Barrier option pricing of mean-reverting stock model in uncertain environment
• Parameter estimation of uncertain differential equation with application to financial market
• Parameter estimation in uncertain differential equations
• Valuing currency swap contracts in uncertain financial market
• A numerical method for solving uncertain differential equations
• Uncertainty theory

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