PRICING ASIAN OPTIONS IN AN UNCERTAIN STOCK MODEL WITH FLOATING INTEREST RATE

DOI10.1615/Int.J.UncertaintyQuantification.2018025270zbMath1498.91463OpenAlexW2895921848WikidataQ129057545 ScholiaQ129057545MaRDI QIDQ5052343

Ping Chen, Wei-wei Wang

Publication date: 24 November 2022

Published in: International Journal for Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1615/int.j.uncertaintyquantification.2018025270

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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