Authors
Yuhan Liu, Xiaowei Chen, Dan A Ralescu
Publication date
2015/1
Journal
International Journal of Intelligent Systems
Volume
30
Issue
1
Pages
40-51
Description
The Liu process is a new tool to deal with the noise process based on uncertainty theory. In this paper, we view the foreign exchange rate as an uncertain processes, described by uncertain differential equations driven by the Liu process, and build an uncertain currency model. Then, the uncertain currency option problems are discussed. Moreover, European and American currency option pricing formulas are derived for the proposed uncertain currency model and some mathematical properties are studied. Finally, two numerical examples are documented.
Total citations
201420152016201720182019202020212022202320244171520171410161057
Scholar articles
Y Liu, X Chen, DA Ralescu - International Journal of Intelligent Systems, 2015