American Barrier Option Pricing Formulas for Currency Model in Uncertain Environment

作     者：GAO Rong LIU Kaixiang LI Zhiguo LANG Liying GAO Rong;LIU Kaixiang;LI Zhiguo;LANG Liying

作者机构：School of Economics and ManagementHebei University of TechnologyTianjin 300401China School of Management Science and EngineeringChongqing Technology and Business UniversityChongqing 400067China Hebei University of TechnologyTianjin 300401China 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2022年第35卷第1期

页      面：283-312页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 07[理学] 070104[理学-应用数学] 0701[理学-数学] 

基　　金：supported by the Natural Science Foundation of Hebei Province under Grant No.F2020202056 the Key Project of Hebei Education Department under Grant No.ZD2020125 the Social Science Foundation of Hebei Province under Grant No.HB18GL036 

主　　题：Barrier option currency model option pricing uncertain process 

摘      要：Option pricing problem is one of the central issue in the theory of modern *** currency model has been put forward under the foundation of uncertainty theory as a tool to portray the foreign exchange rate in uncertain finance *** paper uses uncertain differential equation involved by Liu process to dispose of the foreign exchange *** an American barrier option of currency model in uncertain environment is *** important of all,the authors deduce the formulas to price four types of American barrier options for this currency model in uncertain environment by rigorous derivation.