Equity warrants pricing problem of mean-reverting model in uncertain environment
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Publication:2162540
DOI10.1016/j.physa.2019.121593OpenAlexW2948943674WikidataQ127718224 ScholiaQ127718224MaRDI QIDQ2162540
Xiangfeng Yang, Samarjit Kar, Miao Tian
Publication date: 8 August 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2019.121593
Related Items (10)
Parameter estimation of uncertain differential equation with application to financial market ⋮ Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type ⋮ Stochastic pricing formulation for hybrid equity warrants ⋮ Pricing equity warrants in Merton jump-diffusion model with credit risk ⋮ European option pricing under multifactor uncertain volatility model ⋮ Option pricing formulas for uncertain exponential Ornstein-Uhlenbeck model with dividends ⋮ Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market ⋮ Lookback option pricing problem of mean-reverting stock model in uncertain environment ⋮ Equity warrants model based on uncertain exponential Ornstein-Uhlenbeck equation ⋮ Age-structured population model under uncertain environment
Cites Work
- The Pricing of Options and Corporate Liabilities
- Mean-reverting stock model with floating interest rate in uncertain environment
- Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model
- Barrier option pricing of mean-reverting stock model in uncertain environment
- Asian-barrier option pricing formulas of uncertain financial market
- Lookback option pricing problem of mean-reverting stock model in uncertain environment
- A numerical method for solving uncertain differential equations
- Uncertainty theory
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