A study of Greek letters of currency option under uncertainty environments

DOI10.1016/J.MCM.2009.10.041zbMath1190.91144OpenAlexW2087343333MaRDI QIDQ984220

Hongyi Li, Weidong Xu, Wei-jun Xu, Wei-Guo Zhang

Publication date: 16 July 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2009.10.041

zbMATH Keywords

greeksput-call paritycurrency optionsfuzzy estimatorsgarman-kohlhagen option pricing formula

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Means (26E60)

Related Items (5)

Pricing currency option based on the extension principle and defuzzification via weighting parameter identification ⋮ Corporate investment appraisal with possibilistic CAPM ⋮ Modeling chinese stock returns with stable distribution ⋮ Options pricing with time changed Lévy processes under imprecise information ⋮ Option pricing and the Greeks under Gaussian fuzzy environments

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