Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates

被引：1
|
作者：
Wang, Xiao [1 ,2 ]
机构：
[1] Beijing Inst Petrochem Technol, Sch Econ & Management, Beijing 102617, Peoples R China
[2] Beijing Acad Safety Engn & Technol, Beijing 102617, Peoples R China
来源：
DISCRETE DYNAMICS IN NATURE AND SOCIETY | 2019年 / 2019卷
基金：
中国国家自然科学基金;
关键词：
MODEL;
D O I：
10.1155/2019/2548592
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Suppose that the interest rates obey stochastic differential equations, while the exchange rate follows an uncertain differential equation; this paper proposes a new currency model. Under the proposed currency model, the pricing formula of European currency options is then derived. Some numerical examples recorded illustrate the quality of pricing formulas. Meanwhile, this paper analyzes the relationship between the pricing formula and some parameters.
引用
收藏
页数：10
相关论文
共 50 条
  • [21] Uncertain strike lookback options pricing with floating interest rate
    Zhang, Lidong
    Sun, Yanmei
    Du, Ziping
    Meng, Xiangbo
    REVIEW OF DERIVATIVES RESEARCH, 2021, 24 (01) : 79 - 94
  • [22] Uncertain strike lookback options pricing with floating interest rate
    Lidong Zhang
    Yanmei Sun
    Ziping Du
    Xiangbo Meng
    Review of Derivatives Research, 2021, 24 : 79 - 94
  • [23] CURRENCY OPTION PRICING WITH STOCHASTIC DOMESTIC AND FOREIGN INTEREST-RATES
    HILLIARD, JE
    MADURA, J
    TUCKER, AL
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1991, 26 (02) : 139 - 151
  • [24] Pricing of foreign exchange options under the MPT stochastic volatility model and the CIR interest rates
    Ahlip, Rehez
    Rutkowski, Marek
    EUROPEAN JOURNAL OF FINANCE, 2016, 22 (07): : 551 - 571
  • [25] Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
    Ahlip, Rehez
    Rutkowski, Marek
    QUANTITATIVE FINANCE, 2013, 13 (06) : 955 - 966
  • [26] Pricing Options under Stochastic Interest Rates: A New Approach
    Yong-Jin Kim
    Naoto Kunitomo
    Asia-Pacific Financial Markets, 1999, 6 (1) : 49 - 70
  • [27] A generalization of reset options pricing formulae with stochastic interest rates
    Li, Shu Jin
    Li, Sheng Hong
    Suna, Chao
    RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2007, 21 (02) : 119 - 133
  • [28] FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
    Ahlip, Rehez
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2008, 11 (03) : 277 - 294
  • [29] Pricing of vulnerable options based on an uncertain CIR interest rate model
    Lv, Guiwen
    Xu, Ping
    Zhang, Yanxue
    AIMS MATHEMATICS, 2023, 8 (05): : 11113 - 11130
  • [30] PRICING ASIAN OPTIONS IN AN UNCERTAIN STOCK MODEL WITH FLOATING INTEREST RATE
    Wang, Weiwei
    Chen, Ping
    INTERNATIONAL JOURNAL FOR UNCERTAINTY QUANTIFICATION, 2018, 8 (06) : 543 - 557
12345