Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates
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 ex...
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| Format: | Article |
| Language: | English |
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Wiley
2019-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2019/2548592 |
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| _version_ | 1832554677399453696 |
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| author | Xiao Wang |
| author_facet | Xiao Wang |
| author_sort | Xiao Wang |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-38c5b7b68d4b4fadb10a56828a972949 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2019-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-38c5b7b68d4b4fadb10a56828a9729492025-02-03T05:50:52ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2019-01-01201910.1155/2019/25485922548592Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest RatesXiao Wang0School of Economics and Management, Beijing Institute of Petrochemical Technology, Beijing 102617, ChinaSuppose 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.http://dx.doi.org/10.1155/2019/2548592 |
| spellingShingle | Xiao Wang Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates Discrete Dynamics in Nature and Society |
| title | Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates |
| title_full | Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates |
| title_fullStr | Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates |
| title_full_unstemmed | Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates |
| title_short | Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates |
| title_sort | pricing of european currency options with uncertain exchange rate and stochastic interest rates |
| url | http://dx.doi.org/10.1155/2019/2548592 |
| work_keys_str_mv | AT xiaowang pricingofeuropeancurrencyoptionswithuncertainexchangerateandstochasticinterestrates |