Pricing rainbow option for uncertain financial market

DOI10.1051/ro/2022195MaRDI QIDQ6186558

No author found.

Publication date: 2 February 2024

Published in: RAIRO - Operations Research (Search for Journal in Brave)

zbMATH Keywords

uncertain processrainbow optionstock model

Mathematics Subject Classification ID

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

Related Items (1)

American rainbow option pricing formulae in uncertain environment

Cites Work

• Unnamed Item
• An uncertain currency model with floating interest rates
• Uncertainty distribution and independence of uncertain processes
• Valuation of interest rate ceiling and floor in uncertain financial market
• Uncertain term structure model of interest rate
• Barrier option pricing of mean-reverting stock model in uncertain environment
• Asian rainbow option pricing formulas of uncertain stock model
• American barrier option pricing formulas for currency model in uncertain environment
• Asian-barrier option pricing formulas of uncertain financial market
• European option pricing model based on uncertain fractional differential equation
• Uncertainty theory

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