Measuring interest rate risk with embedded option using HPL-MC method in fuzzy and stochastic environment

DOI10.1155/2020/7410909zbMath1489.91289OpenAlexW3102211578MaRDI QIDQ2221876

Enlin Tang, Wei Du

Publication date: 3 February 2021

Published in: Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/7410909

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Interest-rate products pricing problems with uncertain jump processes

Cites Work

• A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty
• A dynamic programming approach for pricing options embedded in bonds
• Adaptive fuzzy control for a class of unknown fractional-order neural networks subject to input nonlinearities and dead-zones
• European option pricing under fuzzy environments
• Application of the fuzzy-stochastic methodolgy to appraising the firm value as a European call option

This page was built for publication: Measuring interest rate risk with embedded option using HPL-MC method in fuzzy and stochastic environment