A mean-reverting currency model in an uncertain environment

被引：29
|
作者：
Shen, Yuanyuan [1 ]
Yao, Kai [2 ,3 ]
机构：
[1] Tsinghua Univ, Dept Math Sci, Beijing 100084, Peoples R China
[2] Univ Chinese Acad Sci, Sch Management, Beijing 100190, Peoples R China
[3] Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing 100190, Peoples R China
来源：
SOFT COMPUTING | 2016年 / 20卷 / 10期
基金：
中国国家自然科学基金;
关键词：
Uncertainty theory; Uncertain differential equation; Currency model; Option pricing; STOCK MODEL;
D O I：
10.1007/s00500-015-1748-8
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Uncertain finance has shown great significance in managing financial cases such as stock prices and currency options. Early researchers have put up some currency models to describe the foreign exchange rate. This paper proposes a mean-reverting currency model to describe the foreign change rate in the long term, and derives its European and American option pricing formulas. Besides, it gives some numerical examples to illustrate the formulas.
引用
收藏
页码：4131 / 4138
页数：8
相关论文
共 50 条
  • [21] Valuation of convertible bond under uncertain mean-reverting stock model
    Zhiqiang Zhang
    Weiqi Liu
    Xindong Zhang
    Journal of Ambient Intelligence and Humanized Computing, 2017, 8 : 641 - 650
  • [22] Lookback Option Pricing Problems of Uncertain Mean-Reverting Stock Model
    Liu, Zhaopeng
    JOURNAL OF ADVANCED COMPUTATIONAL INTELLIGENCE AND INTELLIGENT INFORMATICS, 2021, 22 (05) : 539 - 545
  • [23] Financial Modeling in a Fast Mean-Reverting Stochastic Volatility Environment
    Jean-Pierre Fouque
    George Papanicolaou
    K. Ronnie Sircar
    Asia-Pacific Financial Markets, 1999, 6 (1) : 37 - 48
  • [24] Generalized Mean-Reverting 4/2 Factor Model
    Cheng, Yuyang
    Escobar-Anel, Marcos
    Gong, Zhenxian
    JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2019, 12 (04)
  • [25] A pure-jump mean-reverting short rate model
    Hess, Markus
    MODERN STOCHASTICS-THEORY AND APPLICATIONS, 2020, 7 (02): : 113 - 134
  • [26] A currency exchange rate model with jumps in uncertain environment
    Ji, Xiaoyu
    Wu, Huishan
    SOFT COMPUTING, 2017, 21 (18) : 5507 - 5514
  • [27] The mean-reverting 4/2 stochastic volatility model: Properties and financial applications
    Escobar-Anel, Marcos
    Gong, Zhenxian
    APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2020, 36 (05) : 836 - 856
  • [28] A currency exchange rate model with jumps in uncertain environment
    Xiaoyu Ji
    Huishan Wu
    Soft Computing, 2017, 21 : 5507 - 5514
  • [29] Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics
    Hu, Jun
    Kanniainen, Juho
    FINANCE RESEARCH LETTERS, 2015, 14 : 1 - 10
  • [30] American Barrier Option Pricing Formulas for Currency Model in Uncertain Environment
    Gao, Rong
    Liu, Kaixiang
    Li, Zhiguo
    Lang, Liying
    JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2022, 35 (01) : 283 - 312
12345