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International Journal for Uncertainty Quantification

Publicou 6 edições por ano

ISSN Imprimir: 2152-5080

ISSN On-line: 2152-5099

The Impact Factor measures the average number of citations received in a particular year by papers published in the journal during the two preceding years. 2017 Journal Citation Reports (Clarivate Analytics, 2018) IF: 1.7 To calculate the five year Impact Factor, citations are counted in 2017 to the previous five years and divided by the source items published in the previous five years. 2017 Journal Citation Reports (Clarivate Analytics, 2018) 5-Year IF: 1.9 The Immediacy Index is the average number of times an article is cited in the year it is published. The journal Immediacy Index indicates how quickly articles in a journal are cited. Immediacy Index: 0.5 The Eigenfactor score, developed by Jevin West and Carl Bergstrom at the University of Washington, is a rating of the total importance of a scientific journal. Journals are rated according to the number of incoming citations, with citations from highly ranked journals weighted to make a larger contribution to the eigenfactor than those from poorly ranked journals. Eigenfactor: 0.0007 The Journal Citation Indicator (JCI) is a single measurement of the field-normalized citation impact of journals in the Web of Science Core Collection across disciplines. The key words here are that the metric is normalized and cross-disciplinary. JCI: 0.5 SJR: 0.584 SNIP: 0.676 CiteScore™:: 3 H-Index: 25

Indexed in

PRICING ASIAN OPTIONS IN AN UNCERTAIN STOCK MODEL WITH FLOATING INTEREST RATE

Volume 8, Edição 6, 2018, pp. 543-557
DOI: 10.1615/Int.J.UncertaintyQuantification.2018025270
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RESUMO

Option pricing has always been an important issue in the financial field. Unlike the classical stochastic theory, we investigate the valuation of Asian options under the assumption that the risk factors are described by uncertain processes. Early researchers have presented some uncertain stock models to simulate the financial market. In this paper, we propose a new uncertain stock model with floating interest rate, where the process of interest rate is assumed to be the uncertain counterpart of the Cox-Ingersoll-Ross (CIR) model. Subsequently, Asian option pricing formulas of the proposed model are derived and some mathematical properties of the formulas are studied. Finally, some numerical algorithms are designed to calculate the prices of Asian options and some numerical examples are performed.

CITADO POR
  1. Wang Weiwei, Chen Ping, Valuation of stock loan under uncertain stock model with floating interest rate, Soft Computing, 24, 3, 2020. Crossref

  2. Liu Zhaopeng, Cacace Filippo, Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate, Discrete Dynamics in Nature and Society, 2020, 2020. Crossref

  3. Liu Zhaopeng, Lookback Option Pricing Problems of Uncertain Mean-Reverting Stock Model, Journal of Advanced Computational Intelligence and Intelligent Informatics, 25, 5, 2021. Crossref

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