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)

Full work available at URL https://doi.org/10.1007/S13160-024-00682-2

zbMATH Keywords

Asian optionsbarrier optionsexponential Ornstein-Uhlenbeck modeloption pricinguncertain variable

Mathematics Subject Classification ID

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

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Cited in

(1)

• Uncertain finance: a systematic review of recent advances

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