Exponential Ornstein-Uhlenbeck model for Asian barrier option pricing in uncertain environment
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Publication:6671902
DOI10.1007/s13160-024-00682-2MaRDI QIDQ6671902
Publication date: 27 January 2025
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Derivative securities (option pricing, hedging, etc.) (91G20) Processes in random environments (60K37) Classical solutions to PDEs (35A09) Mathematical economics and fuzziness (91B86) Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10)
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