A mean-reverting currency model in an uncertain environment

DOI10.1007/s00500-015-1748-8zbMath1371.91185OpenAlexW1181519619MaRDI QIDQ2403446

Yuanyuan Shen, Kai Yao

Publication date: 8 September 2017

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-015-1748-8

zbMATH Keywords

option pricinguncertainty theoryuncertain differential equationcurrency model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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