An uncertain currency model with floating interest rates

DOI10.1007/s00500-016-2224-9zbMath1407.91259OpenAlexW2470871844MaRDI QIDQ1703677

Yufu Ning, Xiao Wang

Publication date: 7 March 2018

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-016-2224-9

zbMATH Keywords

uncertain differential equationoption pricing formulacurrency modelfloating interest rate

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• Adams-Simpson method for solving uncertain differential equation
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• Uncertain fractional differential equations and an interest rate model
• An Intertemporal General Equilibrium Model of Asset Prices
• A numerical method for solving uncertain differential equations
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Uncertainty theory

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