Weiwei Wang 等：Fractal and Fractional, 2024
更新时间：2024-12-10
点击次数：164
作者：Weiwei Wang， Dan A. Ralescu，Xiaojuan Xue
题名：Valuation of currency option based on uncertain fractional differential equation
期刊：Fractal and Fractional, 2024
摘要：Uncertain fractional differential equations (UFDEs) are excellent tools for describing complicated dynamic systems. This study analyzes the valuation problems of currency options based on UFDE under the optimistic value criterion. Firstly, a new uncertain fractional currency model is formulated to describe the dynamics of the foreign exchange rate. Then, the pricing formulae of European, American, and Asian currency options are obtained under the optimistic value criterion. Numerical simulations are performed to discuss the properties of the option prices with respect to some parameters. Finally, a real-world example is provided to show that the uncertain fractional currency model is superior to the classical stochastic model.
题名：Valuation of currency option based on uncertain fractional differential equation
期刊：Fractal and Fractional, 2024
摘要：Uncertain fractional differential equations (UFDEs) are excellent tools for describing complicated dynamic systems. This study analyzes the valuation problems of currency options based on UFDE under the optimistic value criterion. Firstly, a new uncertain fractional currency model is formulated to describe the dynamics of the foreign exchange rate. Then, the pricing formulae of European, American, and Asian currency options are obtained under the optimistic value criterion. Numerical simulations are performed to discuss the properties of the option prices with respect to some parameters. Finally, a real-world example is provided to show that the uncertain fractional currency model is superior to the classical stochastic model.
