Exponential Ornstein-Uhlenbeck model for Asian barrier option pricing in uncertain environment

DOI10.1007/S13160-024-00682-2MaRDI QIDQ6671902FDOQ6671902

Authors: B. Abbasi, K. Nouri 

Publication date: 27 January 2025

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

option pricinguncertain variableAsian optionsbarrier optionsexponential Ornstein-Uhlenbeck model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10) Processes in random environments (60K37) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Classical solutions to PDEs (35A09) Mathematical economics and fuzziness (91B86)

Cites Work

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• Digital barrier options pricing: an improved Monte Carlo algorithm
• Théorie de la spéculation.

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