Option pricing formulas in a new uncertain stock model with floating interest rate

DOI10.3233/JIFS-17683zbMath1377.91158OpenAlexW2758058160MaRDI QIDQ4599603

Liu Lixia, Lv Guiwen, Li Wenhan

Publication date: 4 January 2018

Published in: Journal of Intelligent & Fuzzy Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/jifs-17683

zbMATH Keywords

option pricingAsian optionAmerican optionEuropean optionuncertain process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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