Uncertain Calculus With Yao Process

2016 ◽  
Vol 24 (6) ◽  
pp. 1578-1585 ◽  
Author(s):  
Xiangfeng Yang ◽  
Jinwu Gao ◽  
Samarjit Kar
Keyword(s):  
Uncertain Calculus

Pricing Convertible Bond in Uncertain Financial Market

2021 ◽  
pp. 2150007
Author(s):  
Zhiqiang Zhang ◽  
Zhenfang Wang ◽  
Xiaowei Chen
Keyword(s):  
Differential Equation ◽  
Financial Market ◽  
Stock Price ◽  
Uncertainty Theory ◽  
Convertible Bonds ◽  
Convertible Bond ◽  
Uncertain Differential Equation ◽  
Numerical Examples ◽  
Liu Process ◽  
Uncertain Calculus

This paper is devoted to evaluating the convertible bonds within the framework of uncertainty theory. Under the assumption that the underlying stock price follows an uncertain differential equation driven by Liu process, the price formulas of convertible bonds and the callable convertible bonds are derived by using the method of uncertain calculus. Finally, two numerical examples are discussed.

Uncertain calculus with finite variation processes

2014 ◽  
Vol 19 (10) ◽  
pp. 2905-2912 ◽  
Author(s):  
Xiaowei Chen
Keyword(s):  
Finite Variation ◽  
Uncertain Calculus

A Rigorous Proof of Fundamental Theorem of Uncertain Calculus

2021 ◽  
pp. 2150009
Author(s):  
Tingqing Ye
Keyword(s):  
Fundamental Theorem ◽  
Rigorous Proof ◽  
Lipschitz Continuous ◽  
Sample Paths ◽  
Liu Process ◽  
Locally Lipschitz ◽  
Definition Of ◽  
Almost All ◽  
Uncertain Calculus ◽  
And Diffusion

This paper revises the definition of the general Liu process via requiring its drift and diffusion to be sample-continuous. Then it is verified that almost all sample paths of the general Liu process are locally Lipschitz continuous. At last, a rigorous proof of fundamental theorem of uncertain calculus is given.

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