A mean-reverting currency model in an uncertain environment

A mean-reverting currency model in an uncertain environment

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 t...

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Veröffentlicht in:Soft computing (Berlin, Germany) Germany), 2016-10, Vol.20 (10), p.4131-4138
Hauptverfasser: Shen, Yuanyuan, Yao, Kai
Format: Artikel
Sprache:eng
Schlagworte:
Algebra
Artificial Intelligence
Computational Intelligence
Control
Engineering
Expected values
Mathematical Logic and Foundations
Mechatronics
Methodologies and Application
Numerical analysis
Probability distribution
Robotics
Stochastic models
Variables
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Zusammenfassung: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.
ISSN:1432-7643
1433-7479
DOI:10.1007/s00500-015-1748-8