Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates

被引：1
|
作者：
Wang, Xiao [1 ,2 ]
机构：
[1] Beijing Inst Petrochem Technol, Sch Econ & Management, Beijing 102617, Peoples R China
[2] Beijing Acad Safety Engn & Technol, Beijing 102617, Peoples R China
来源：
DISCRETE DYNAMICS IN NATURE AND SOCIETY | 2019年 / 2019卷
基金：
中国国家自然科学基金;
关键词：
MODEL;
D O I：
10.1155/2019/2548592
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Suppose that the interest rates obey stochastic differential equations, while the exchange rate follows an uncertain differential equation; this paper proposes a new currency model. Under the proposed currency model, the pricing formula of European currency options is then derived. Some numerical examples recorded illustrate the quality of pricing formulas. Meanwhile, this paper analyzes the relationship between the pricing formula and some parameters.
引用
收藏
页数：10
相关论文
共 39 条
  • [1] Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates
    Ahlip, Rehez
    King, Rik
    JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2010, 140 (05) : 1256 - 1268
  • [2] Pricing real estate index options under stochastic interest rates
    Gong, Pu
    Dai, Jun
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2017, 479 : 309 - 323
  • [3] A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates
    Ma, Chaoqun
    Ma, Zonggang
    Xiao, Shisong
    CHAOS SOLITONS & FRACTALS, 2019, 123 : 59 - 68
  • [4] Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps
    Zhang, Sumei
    Sun, Yudong
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2017, 325 : 34 - 41
  • [5] Efficient Simulation for Pricing Barrier Options with Two-Factor Stochastic Volatility and Stochastic Interest Rate
    Zhang Sumei
    Zhao Jieqiong
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2017, 2017
  • [6] Knock-out options pricing formulas in uncertain financial market with floating interest rate
    Jia, Lifen
    Li, Dongao
    Guo, Fengjia
    Liu, Yajuan
    SOFT COMPUTING, 2024,
  • [7] Pricing of European currency options considering the dynamic information costs
    Dammak, Wael
    Ben Hamad, Salah
    de Peretti, Christian
    Eleuch, Hichem
    GLOBAL FINANCE JOURNAL, 2023, 58
  • [8] Option pricing under stochastic interest rates
    Yang, Xiuni
    Yang, Yunfeng
    2018 14TH INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE AND SECURITY (CIS), 2018, : 461 - 464
  • [9] PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION
    Wang, Xingchun
    PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES, 2018, 32 (01) : 67 - 95
  • [10] Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
    Zhang, Sumei
    Zhang, Jianke
    INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2020, 97 (03) : 546 - 563
1234