Knock-in options of mean-reverting stock model with floating interest rate in uncertain environment
Author:
Affiliation:
1. School of Management and Engineering, Capital University of Economics and Business, Beijing, People's Republic of China
2. School of Economic and Management, Beijing University of Chemical Technology, Beijing, People's Republic of China
Funder
the Project of Teachers' Constructions in Beijing Municipal Universities in the Period of 14th Five-year Plan
R&D Program of Beijing Municipal Education Commission
Publisher
Informa UK Limited
Subject
Computer Science Applications,Modeling and Simulation,Information Systems,Theoretical Computer Science,Control and Systems Engineering
Link
https://www.tandfonline.com/doi/pdf/10.1080/03081079.2023.2276703
Reference35 articles.
1. European barrier option pricing formulas of uncertain currency model
2. On Parisian option pricing for uncertain currency model
3. Geometric Asian barrier option pricing formulas of uncertain stock model
4. Asian rainbow option pricing formulas of uncertain stock model
5. Knock-in options of an uncertain stock model with floating interest rate
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