Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates
Author
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-02-04
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Wang, Xiao. 2019. Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates. Discrete Dynamics in Nature and Society،Vol. 2019, no. 2019, pp.1-10.
https://search.emarefa.net/detail/BIM-1146285
Modern Language Association (MLA)
Wang, Xiao. Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates. Discrete Dynamics in Nature and Society No. 2019 (2019), pp.1-10.
https://search.emarefa.net/detail/BIM-1146285
American Medical Association (AMA)
Wang, Xiao. Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates. Discrete Dynamics in Nature and Society. 2019. Vol. 2019, no. 2019, pp.1-10.
https://search.emarefa.net/detail/BIM-1146285
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1146285