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

DOI10.1007/S13160-024-00682-2MaRDI QIDQ6671902zbMATH OpenFDO

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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