Abstract
As a theoretical branch of uncertainty theory, uncertain finance has shown great significance in managing financial cases such as stock prices and currency options. In particular, as one of the areas of concern in uncertain finance, a large number of currency models have been proposed to describe the foreign exchange rate. However, the existing currency models mainly describe the foreign exchange rate by linear uncertain differential equation. As a supplement, this paper proposes a new currency model called uncertain exponential currency model to describe the foreign exchange rates by nonlinear uncertain differential equation. After that some option pricing formulas are derived, and then some numerical examples are provided to illustrate the formulas. Finally, the relationships between the pricing results and parameters in the pricing formulas are also discussed, respectively.
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Funding
This work was funded by the National Natural Science Foundation of China (Grant Nos. 12061072 and 62162059) and the Xinjiang Key Laboratory of Applied Mathematics (Grant No. XJDX1401).
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All authors contributed to the study conception and design. Material preparation, data collection, and analysis were performed by Yuhong Sheng and Xiaokang Li. The first draft of the manuscript was written by Xiaokang Li and all authors commented on previous versions of the manuscript. All authors read and approved the final manuscript.
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Li, X., Sheng, Y. Uncertain exponential currency model and currency option pricing. Soft Comput 26, 13369–13380 (2022). https://doi.org/10.1007/s00500-022-07538-2
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DOI: https://doi.org/10.1007/s00500-022-07538-2