Runge-Kutta Method for Solving Uncertain Differential Equations

摘要：

　　Uncertain differential equations have been applied to many fields especially in uncertain finance.This paper gives a new numerical method for solving uncertain differential equations.This method depends on the Runge-Kutta method, which is a widely-used effective method.A new currency model is put up in this paper.Its European option pricing and American option pricing formulas are given and the numerical results are calculated with the Runge-Kutta method.

关键词： uncertain theory uncertain differential equations Runge-Kutta methods currency option model

作者: Yuanyuan Shen

作者单位: Department of Mathematical Sciences Tsinghua University, Beijing 100084, China

会议类型: 国内会议

会议名称: 第七届中国智能计算大会

会议地点: 桂林

会议语种:英文

页码: 141-148

在线出版日期: 2013-05-17（万方平台首次上网日期，不代表论文的发表时间）