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American Barrier Option Pricing Formulas for Currency Model in Uncertain Environment

Option pricing problem is one of the central issue in the theory of modern finance. Uncertain currency model has been put forward under the foundation of uncertainty theory as a tool to portray the foreign exchange rate in uncertain finance market. This paper uses uncertain differential equation inv...

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Detalles Bibliográficos
Autores principales: Gao, Rong, Liu, Kaixiang, Li, Zhiguo, Lang, Liying
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Academy of Mathematics and Systems Science, Chinese Academy of Sciences 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8019689/
https://www.ncbi.nlm.nih.gov/pubmed/33840983
http://dx.doi.org/10.1007/s11424-021-0039-y
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author Gao, Rong
Liu, Kaixiang
Li, Zhiguo
Lang, Liying
author_facet Gao, Rong
Liu, Kaixiang
Li, Zhiguo
Lang, Liying
author_sort Gao, Rong
collection PubMed
description Option pricing problem is one of the central issue in the theory of modern finance. Uncertain currency model has been put forward under the foundation of uncertainty theory as a tool to portray the foreign exchange rate in uncertain finance market. This paper uses uncertain differential equation involved by Liu process to dispose of the foreign exchange rate. Then an American barrier option of currency model in uncertain environment is investigated. Most important of all, the authors deduce the formulas to price four types of American barrier options for this currency model in uncertain environment by rigorous derivation.
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spelling pubmed-80196892021-04-06 American Barrier Option Pricing Formulas for Currency Model in Uncertain Environment Gao, Rong Liu, Kaixiang Li, Zhiguo Lang, Liying J Syst Sci Complex Article Option pricing problem is one of the central issue in the theory of modern finance. Uncertain currency model has been put forward under the foundation of uncertainty theory as a tool to portray the foreign exchange rate in uncertain finance market. This paper uses uncertain differential equation involved by Liu process to dispose of the foreign exchange rate. Then an American barrier option of currency model in uncertain environment is investigated. Most important of all, the authors deduce the formulas to price four types of American barrier options for this currency model in uncertain environment by rigorous derivation. Academy of Mathematics and Systems Science, Chinese Academy of Sciences 2021-04-05 2022 /pmc/articles/PMC8019689/ /pubmed/33840983 http://dx.doi.org/10.1007/s11424-021-0039-y Text en © The Editorial Office of JSSC & Springer-Verlag GmbH Germany 2021 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Article
Gao, Rong
Liu, Kaixiang
Li, Zhiguo
Lang, Liying
American Barrier Option Pricing Formulas for Currency Model in Uncertain Environment
title American Barrier Option Pricing Formulas for Currency Model in Uncertain Environment
title_full American Barrier Option Pricing Formulas for Currency Model in Uncertain Environment
title_fullStr American Barrier Option Pricing Formulas for Currency Model in Uncertain Environment
title_full_unstemmed American Barrier Option Pricing Formulas for Currency Model in Uncertain Environment
title_short American Barrier Option Pricing Formulas for Currency Model in Uncertain Environment
title_sort american barrier option pricing formulas for currency model in uncertain environment
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8019689/
https://www.ncbi.nlm.nih.gov/pubmed/33840983
http://dx.doi.org/10.1007/s11424-021-0039-y
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