A mean-reverting currency model in an uncertain environment
文献类型：期刊论文
| 作者 | Shen, Yuanyuan1; Yao, Kai2,3 |
| 刊名 | Soft computing
 |
| 出版日期 | 2016-10-01 |
| 卷号 | 20期号:10页码:4131-4138 |
| ISSN号 | 1432-7643 |
| 关键词 | Uncertainty theory Uncertain differential equation Currency model Option pricing |
| DOI | 10.1007/s00500-015-1748-8 |
| 通讯作者 | Yao, kai(yaokai@ucas.ac.cn) |
| 英文摘要 | Uncertain finance has shown great significance in managing financial cases such as stock prices and currency options. early researchers have put up some currency models to describe the foreign exchange rate. this paper proposes a mean-reverting currency model to describe the foreign change rate in the long term, and derives its european and american option pricing formulas. besides, it gives some numerical examples to illustrate the formulas. |
| WOS关键词 | STOCK MODEL |
| WOS研究方向 | Computer Science |
| WOS类目 | Computer Science, Artificial Intelligence ; Computer Science, Interdisciplinary Applications |
| 语种 | 英语 |
| 出版者 | SPRINGER |
| WOS记录号 | WOS:000384228700026 |
| URI标识 | http://www.irgrid.ac.cn/handle/1471x/2375855 |
| 专题 | 中国科学院大学 |
| 通讯作者 | Yao, Kai |
| 作者单位 | 1.Tsinghua Univ, Dept Math Sci, Beijing 100084, Peoples R China 2.Univ Chinese Acad Sci, Sch Management, Beijing 100190, Peoples R China 3.Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Shen, Yuanyuan,Yao, Kai. A mean-reverting currency model in an uncertain environment[J]. Soft computing,2016,20(10):4131-4138. |
| APA | Shen, Yuanyuan,&Yao, Kai.(2016).A mean-reverting currency model in an uncertain environment.Soft computing,20(10),4131-4138. |
| MLA | Shen, Yuanyuan,et al."A mean-reverting currency model in an uncertain environment".Soft computing 20.10(2016):4131-4138. |
入库方式： iSwitch采集
来源：中国科学院大学
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