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09.02.2018 | Focus

International investing in uncertain financial market

verfasst von: Yi Zhang, Jinwu Gao, Qi An

Erschienen in: Soft Computing | Ausgabe 16/2018

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Abstract

International investing is the strategy of selecting globally based investment instruments as a part of an investment portfolio. In order to diversify the portfolios and enhance growth opportunities, more and more firms choose to invest on foreign stocks and derivatives that bring not only stock price risk, but also the exchange rate risk. This paper considers foreign derivatives in an uncertain financial market. Under the assumption that both the exchange rate and the stock price follow uncertain differential equations, the domestic prices of foreign European options, American options and Asian options are developed by means of contour process, respectively. Some examples are finally provided to further demonstrate the properties of the pricing formulas.

Vorheriger Artikel A combined neural network model for commodity price forecasting with SSA

Nächster Artikel A novel multi-attribute group decision-making method based on the MULTIMOORA with linguistic evaluations

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Titel: International investing in uncertain financial market
verfasst von: Yi Zhang
Jinwu Gao
Qi An
Publikationsdatum: 09.02.2018
Verlag: Springer Berlin Heidelberg
Erschienen in: Soft Computing / Ausgabe 16/2018
Print ISSN: 1432-7643
Elektronische ISSN: 1433-7479
DOI: https://doi.org/10.1007/s00500-018-3028-x

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