2019
DOI: 10.1016/j.chaos.2019.03.037
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Asian-barrier option pricing formulas of uncertain financial market

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Cited by 52 publications
(27 citation statements)
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“…Following uncertain stock model, the pricing formulas of Asian barrier option and American barrier option were deduced by Yang et al. ( 2019 ) and Gao et al. ( 2019 ), respectively.…”
Section: Introductionmentioning
confidence: 99%
“…Following uncertain stock model, the pricing formulas of Asian barrier option and American barrier option were deduced by Yang et al. ( 2019 ) and Gao et al. ( 2019 ), respectively.…”
Section: Introductionmentioning
confidence: 99%
“…Yao and Zhou 20 studied the reliability in an insurance risk process via criteria such as ruin index, ruin time, and deficit. On account of the system reliability of financial products, different kinds of barrier option pricing formulas were derived by Yang et al, 21 Tian et al, 22 and Gao et al 23 In the engineering field, Li et al 24 introduced the uncertainty theory to account for such uncertainty due to small samples and build up a framework of accelerated degradation testing modeling to aid the reliability and lifetime evaluations for highly reliable products. Yu et al 25 proposed an interest‐rate model with jumps in uncertain financial markets.…”
Section: Introductionmentioning
confidence: 99%
“…Sheng and Shi [13] and Gao et al [14] calculated the prices of Asian options and lookback options, respectively. ese works were generalized by Hassanzadeh and Mehrdoust [15] and Yang et al [16]. e UDEs were also used to model the interest rate in the uncertain environment by Chen and Gao [17], in which the zero-coupon bond is priced in an analytic form.…”
Section: Introductionmentioning
confidence: 99%