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Erschienen in: Fuzzy Optimization and Decision Making 1/2019

01.02.2018

Valuing currency swap contracts in uncertain financial market

verfasst von: Yi Zhang, Jinwu Gao, Zongfei Fu

Erschienen in: Fuzzy Optimization and Decision Making | Ausgabe 1/2019

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Abstract

Swap is a financial contract between two counterparties who agree to exchange one cash flow stream with the other according to some predetermined rules. When the cash flows are interest payments of different currencies, the swap is called a currency swap. In this paper, it is assumed that the exchange rate follows some uncertain differential equations, and the currency swap contracts in uncertain financial market are discussed. For dealing with long-term, short-term and super-short circumstances, three currency swap models are proposed, respectively. Their explicit solutions are developed through Yao–Chen formula. Moreover, a numerical method is designed for simplifying calculation. Finally, examples are given to show the effectiveness of the theory developed in this paper.

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Metadaten
Titel
Valuing currency swap contracts in uncertain financial market
verfasst von
Yi Zhang
Jinwu Gao
Zongfei Fu
Publikationsdatum
01.02.2018
Verlag
Springer US
Erschienen in
Fuzzy Optimization and Decision Making / Ausgabe 1/2019
Print ISSN: 1568-4539
Elektronische ISSN: 1573-2908
DOI
https://doi.org/10.1007/s10700-018-9284-5

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