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A mean-reverting currency model in an uncertain environment

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Abstract

Uncertain finance has shown great significance in managing financial cases such as stock prices and currency options. Early researchers have put up some currency models to describe the foreign exchange rate. This paper proposes a mean-reverting currency model to describe the foreign change rate in the long term, and derives its European and American option pricing formulas. Besides, it gives some numerical examples to illustrate the formulas.

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Acknowledgments

This work was supported by National Natural Science Foundation of China (Grant Nos. 61273044 and 61403360).

Conflict of interest

The authors declare that they have no competing interests.

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Correspondence to Kai Yao.

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Communicated by V. Loia.

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Shen, Y., Yao, K. A mean-reverting currency model in an uncertain environment. Soft Comput 20, 4131–4138 (2016). https://doi.org/10.1007/s00500-015-1748-8

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  • DOI: https://doi.org/10.1007/s00500-015-1748-8

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