A currency exchange rate model with jumps in uncertain environment

被引：12
作者：
Ji, Xiaoyu [1 ]
Wu, Huishan [2 ]
机构：
[1] Renmin Univ China, Sch Business, Beijing 100872, Peoples R China
[2] Capital Univ Econ & Business, Sch Stat, Beijing 100070, Peoples R China
来源：
SOFT COMPUTING | 2017年 / 21卷 / 18期
基金：
中国国家自然科学基金;
关键词：
Currency model; Option pricing formula; Uncertainty theory; Uncertain differential equation with jumps; RENEWAL PROCESS; STOCK MODEL;
D O I：
10.1007/s00500-016-2141-y
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Uncertain differential equation is an important tool to deal with the currency exchange rate problems in uncertain environment. Considering the fierce drifts of the exchange rate, this paper proposes a currency model by using the uncertain differential equation with jumps. The uncertainty distribution of the exchange rate is calculated, based on which a European currency option pricing formula for the currency model is derived. In order to calculate the currency option numerically, an algorithm is designed, and its effectiveness and efficiency are illustrated via some numerical experiments.
引用
收藏
页码：5507 / 5514
页数：8
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