Currency Models with Uncertain Exchange Rate

摘要：

Currency option pricing is one of the core content of modern finance. Uncertain finance is an application of uncertainty theory in the field of finance. In this paper, two uncertain currency models are introduced. Besides, European option pricing formulas are derived for uncertain currency market and some mathematical properties are discussed.

关键词： Finance currency model uncertain process option pricing

作者: Yuhan Liu Xiaowei Chen

作者单位: Department of Industrial Engineering Uncertainty Theory Laboratory, Department of Mathematical Sciences Tsinghua University, Beijing 1000

会议类型: 国际会议

会议名称: The Second International Conference on Uncertainty Theory(ICUT)(第二届不确定理论国际会议)

会议地点: 拉萨

会议语种:英文

页码: 232-235

在线出版日期: 2011-08-06（万方平台首次上网日期，不代表论文的发表时间）