Interest-rate products pricing problems with uncertain jump processes

DOI10.1155/2021/7398770zbMath1471.91592OpenAlexW3175735974MaRDI QIDQ2045339

Publication date: 12 August 2021

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2021/7398770

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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Uncertain differential equations
Uncertain differential equation with jumps
A currency exchange rate model with jumps in uncertain environment
Valuation of interest rate ceiling and floor in uncertain financial market
Mean-reverting stock model with floating interest rate in uncertain environment
Valuation of European option under uncertain volatility model
Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model
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Stability in mean for uncertain differential equation with jumps
Quasi-closed-form solution and numerical method for currency option with uncertain volatility model
An interest-rate model with jumps for uncertain financial markets
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Pricing of European currency options with uncertain exchange rate and stochastic interest rates
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Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
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RELIABILITY INDEX AND OPTION PRICING FORMULAS OF THE FIRST-HITTING TIME MODEL BASED ON THE UNCERTAIN FRACTIONAL-ORDER DIFFERENTIAL EQUATION WITH CAPUTO TYPE
Uncertain Renewal Processes
Uncertainty theory
Uncertainty theory

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