A mean-reverting currency model with floating interest rates in uncertain environment

DOI10.3934/jimo.2018129zbMath1438.91161OpenAlexW2885831574WikidataQ129321804 ScholiaQ129321804MaRDI QIDQ2315616

Ping Chen, Wei-wei Wang

Publication date: 25 July 2019

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2018129

zbMATH Keywords

option pricingfinanceuncertainty theoryuncertain differential equationcurrency model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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