American Barrier Option Pricing Formulas for Currency Model in Uncertain Environment

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

A New Stock Model for Option Pricing in Uncertain Environment

The option-pricing problem is always an important part in modern finance. Assuming that the stock diffusion is a constant, some literature has introduced many stock models and given corresponding option pricing formulas within the framework of the uncertainty theory. In this paper, we propose a new stock model with uncertain stock diffusion for uncertain markets. Some option pricing formulas on...

متن کامل

Uncertain Currency Model and Currency Option Pricing

Liu process is a new tool to deal with the noise process based on uncertainty theory. In this paper, we view the foreign exchange rate as an uncertain process, described by an uncertain differential equation driven by Liu process, and build an uncertain currency model. Then the uncertain currency option processes are discussed. Moreover, European and American currency option pricing formulas ar...

متن کامل

a new stock model for option pricing in uncertain environment

the option-pricing problem is always an important part in modern finance. assuming that the stock diffusion is a constant, some literature has introduced many stock models and given corresponding option pricing formulas within the framework of the uncertainty theory. in this paper, we propose a new stock model with uncertain stock diffusion for uncertain markets. some option pricing formulas on...

متن کامل

Numerical algorithm for discrete barrier option pricing in a Black-Scholes model with stationary process

In this article, we propose a numerical algorithm for computing price of discrete single and double barrier option under the emph{Black-Scholes} model. In virtue of some general transformations, the partial differential equations of option pricing in different monitoring dates are converted into simple diffusion equations. The present method is fast compared to alterna...

متن کامل

American Option Pricing Formula for Uncertain Financial Market

Option pricing is the the core content of modern finance. American option is widely accepted by investors for its flexibility of exercising time. In this paper, American option pricing formula is calculated for uncertain financial market and some mathematical properties of them are discussed. In addition, some examples are proposed. keywords: finance, uncertain process, option pricing

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Systems Science and Complexity

سال: 2021

ISSN: 1009-6124,1559-7067

DOI: 10.1007/s11424-021-0039-y