European option pricing under multifactor uncertain volatility model
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Publication:2153662
DOI10.1007/s00500-020-04919-3zbMath1489.91262OpenAlexW3019634278MaRDI QIDQ2153662
Farshid Mehrdoust, Sabahat Hassanzadeh
Publication date: 12 July 2022
Published in: Soft Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00500-020-04919-3
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On Parisian option pricing for uncertain currency model ⋮ Valuation of lookback option under uncertain volatility model ⋮ Uncertain energy model for electricity and gas futures with application in spark-spread option price ⋮ Optimal control for uncertain random continuous-time systems ⋮ Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region
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