Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model
type: Item
instance of: scholarly article
title: Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model
zbMATH Open document ID: 1398.91589
author: Yin Gao
author: Xiangfeng Yang
author: Zongfei Fu
published in: Soft Computing
publication date: 2018-10-23T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 6963304
zbMATH Keywords: uncertain variable
zbMATH Keywords: uncertain process
zbMATH Keywords: exponential Ornstein-Uhlenbeck model
zbMATH Keywords: lookback option
Wikidata QID: Q115606559
MaRDI profile type: Publication
full work available at URL: s00500-017-2558-y
OpenAlex ID: W2606376523
cites work: Q4999389
cites work: Uncertain stock model with periodic dividends
cites work: Option pricing for an uncertain stock model with jumps
cites work: Uncertainty theory
cites work: Q4999388
cites work: Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation
cites work: Uncertain contour process and its application in stock model with floating interest rate
cites work: A no-arbitrage theorem for uncertain stock model
cites work: Uncertain differential equations
cites work: A numerical method for solving uncertain differential equations
cites work: Valuation of power option for uncertain financial market
cites work: UNCERTAIN OPTIMAL CONTROL WITH APPLICATION TO A PORTFOLIO SELECTION MODEL
DOI: 10.1007/S00500-017-2558-Y
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description: scientific article; zbMATH DE number 6963304