Uncertain stock model with periodic dividends
From MaRDI portal
Publication:2418603
DOI10.1007/s10700-012-9141-xzbMath1411.91550OpenAlexW2071575826MaRDI QIDQ2418603
Dan A. Ralescu, Xiaowei Chen, Yuhan Liu
Publication date: 28 May 2019
Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10700-012-9141-x
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Parameter estimation of uncertain differential equation with application to financial market ⋮ European option pricing under multifactor uncertain volatility model ⋮ Option pricing formulas for uncertain exponential Ornstein-Uhlenbeck model with dividends ⋮ Critical value-based Asian option pricing model for uncertain financial markets ⋮ Reliability analysis of the uncertain heat conduction model ⋮ Bermudan options pricing formulas in uncertain financial markets ⋮ Uncertain portfolio adjusting model using semiabsolute deviation ⋮ Exponential stability of uncertain differential equation ⋮ A mean-reverting currency model in an uncertain environment ⋮ Lookback option pricing problem of mean-reverting stock model in uncertain environment ⋮ Belief reliability analysis of traffic network: an uncertain percolation semi-Markov model ⋮ A bi-level optimization model for the asset-liability management of insurance companies ⋮ A currency exchange rate model with jumps in uncertain environment ⋮ Asian-barrier option pricing formulas of uncertain financial market ⋮ Indefinite LQ optimal control with process state inequality constraints for discrete-time uncertain systems ⋮ Valuation of power option for uncertain financial market ⋮ Adams predictor-corrector method for solving uncertain differential equation ⋮ Uncertain calculus with finite variation processes ⋮ Option pricing for an uncertain stock model with jumps ⋮ Numerical approach for solution to an uncertain fractional differential equation ⋮ European option pricing model based on uncertain fractional differential equation ⋮ Semideviations of reduced fuzzy variables: a possibility approach ⋮ Options pricing with time changed Lévy processes under imprecise information ⋮ Uncertain contour process and its application in stock model with floating interest rate ⋮ Valuation of interest rate ceiling and floor in uncertain financial market ⋮ No-arbitrage theorem for multi-factor uncertain stock model with floating interest rate ⋮ Mean-reverting stock model with floating interest rate in uncertain environment ⋮ Valuation of European option under uncertain volatility model ⋮ International investing in uncertain financial market ⋮ Asian option pricing problems of uncertain mean-reverting stock model ⋮ Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model ⋮ Valuation of stock loan under uncertain environment ⋮ Solving high-order uncertain differential equations via Adams-Simpson method ⋮ A stock model with jumps for Itô-Liu financial markets ⋮ Lookback options pricing for uncertain financial market ⋮ Valuation of stock loan under uncertain stock model with floating interest rate ⋮ Uncertain population model ⋮ Power Option Pricing Problem Based on Uncertain Mean-Reverting Stock Model with Floating Interest Rate ⋮ An efficient Monte Carlo simulation for new uncertain Heston-CIR hybrid model
Cites Work
- The Pricing of Options and Corporate Liabilities
- Existence and uniqueness theorem for uncertain differential equations
- Uncertain calculus with renewal process
- Uncertain hypothesis testing for two experts' empirical data
- Uncertain term structure model of interest rate
- Extreme value theorems of uncertain process with application to insurance risk model
- Theory and practice of uncertain programming.
- Uncertainty theory
- Unnamed Item
- Unnamed Item
