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

页数：10

共 26 条

[1]

[Anonymous], 2008, UNCERTAINTY THEORY

[2] The performance of alternative valuation models in the OTC currency options market [J].