Lookback option pricing problem of uncertain mean-reverting currency model

DOI10.1007/s00500-021-06214-1zbMath1498.91455OpenAlexW3189145601MaRDI QIDQ2100489

Yanyan Li

Publication date: 22 November 2022

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

Full work available at URL: https://doi.org/10.1007/s00500-021-06214-1

zbMATH Keywords

uncertainty theoryuncertain differential equationcurrency modellookback option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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