A study of Greek letters of currency option under uncertainty environments

DOI10.1016/j.mcm.2009.10.041zbMath1190.91144MaRDI QIDQ984220

Weidong Xu, Hongyi Li, Wei-Guo Zhang, Wei-jun Xu

Publication date: 16 July 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2009.10.041

zbMATH Keywords

greeks; put-call parity; currency options; fuzzy estimators; garman-kohlhagen option pricing formula

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

26E60: Means

Related Items

Modeling chinese stock returns with stable distribution, Corporate investment appraisal with possibilistic CAPM, Pricing currency option based on the extension principle and defuzzification via weighting parameter identification

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