Asian Options Pricing and Parameter Estimation of Uncertain Mean-Reverting Currency Model With Exponential Ornstein–Uhlenbeck Exchange Rate
This paper introduces an uncertain mean-reverting currency model that incorporates floating domestic and foreign interest rates along with an exponential Ornstein–Uhlenbeck exchange rate process, all grounded in uncertainty theory. Pricing formulas for both Asian call and put options are derived wit...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2025-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/jom/6658524 |
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