Power Option Pricing Problem Based on Uncertain Mean-Reverting Stock Model with Floating Interest Rate

DOI10.1007/978-981-13-8229-1_16zbMath1425.91402OpenAlexW2974371584MaRDI QIDQ5244323

Can Huang, Xiangfeng Yang

Publication date: 20 November 2019

Published in: Proceedings of the Sixth International Forum on Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-13-8229-1_16

zbMATH Keywords

option pricingpower optionfloating interest rateuncertain mean-reverting model

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Pricing and hedging power options
• Pricing of two kinds of power options under fractional Brownian motion, stochastic rate, and jump-diffusion models
• Valuation of power option for uncertain financial market
• Uncertainty distribution and independence of uncertain processes
• Uncertain contour process and its application in stock model with floating interest rate
• Mean-reverting stock model with floating interest rate in uncertain environment
• Asian option pricing problems of uncertain mean-reverting stock model
• Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model
• Uncertain stock model with periodic dividends
• Valuation of stock loan under uncertain mean-reverting stock model
• A numerical method for solving uncertain differential equations
• Uncertainty theory

This page was built for publication: Power Option Pricing Problem Based on Uncertain Mean-Reverting Stock Model with Floating Interest Rate