Option pricing and parameter estimation for uncertain mean-reverting currency model
Lujun Zhou, Zhenhua He, Jianmin Liu, Xiaolan Yin
| Year of publication: |
2025
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|---|---|
| Authors: | Zhou, Lujun ; He, Zhenhua ; Liu, Jianmin ; Yin, Xiaolan |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 66.2025, 6, p. 4781-4811
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| Subject: | Option pricing | Parameter estimation | Mean-reverting | Uncertain currency model. | Uncertainty theory | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Risiko | Risk | Stochastischer Prozess | Stochastic process | Mean Reversion | Mean reversion | Währungsderivat | Currency derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-025-10872-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015591437