Discrete Dynamics in Nature and Society / 2019 / Article / Tab 1

Research Article

Pricing of European Currency Options with Uncertain Exchange Rate and Stochastic Interest Rates

Table 1

Some notations and parameters.

: domestic interest rate at : strike price

: foreign interest rate at : maturity date

: spot domestic currency price of a unit of foreign exchange at : a Liu process

: log-drift of the spot currency price : a Wiener process

: log-diffusion of the spot currency price : uncertain measure

: European call currency option price: expected value of

: European put currency option price: variance of

: normal distribution