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06-04-2016 | Methodologies and Application

A currency exchange rate model with jumps in uncertain environment

Authors: Xiaoyu Ji, Huishan Wu

Published in: Soft Computing | Issue 18/2017

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Abstract

Uncertain differential equation is an important tool to deal with the currency exchange rate problems in uncertain environment. Considering the fierce drifts of the exchange rate, this paper proposes a currency model by using the uncertain differential equation with jumps. The uncertainty distribution of the exchange rate is calculated, based on which a European currency option pricing formula for the currency model is derived. In order to calculate the currency option numerically, an algorithm is designed, and its effectiveness and efficiency are illustrated via some numerical experiments.

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Title: A currency exchange rate model with jumps in uncertain environment
Authors: Xiaoyu Ji
Huishan Wu
Publication date: 06-04-2016
Publisher: Springer Berlin Heidelberg
Published in: Soft Computing / Issue 18/2017
Print ISSN: 1432-7643
Electronic ISSN: 1433-7479
DOI: https://doi.org/10.1007/s00500-016-2141-y

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