Soft Computing

, Volume 21, Issue 22, pp 6739–6754 | Cite as

An uncertain currency model with floating interest rates

  • Xiao Wang
  • Yufu Ning
Methodologies and Application


Considering the uncertain fluctuations in the financial market from time to time, we propose a currency model with floating interest rates within the framework of uncertainty theory. Different from the classical stochastic currency models, this paper is assumed that the domestic interest rate, the foreign interest rate and the exchange rate follow uncertain differential equations. After that, the pricing formulas of European and American currency options are derived. The simulation experiments presented in this paper illustrate the performance of the proposed model, and the relationship between the option pricing formulas and all relevant parameters is analyzed.


Currency model Option pricing formula Floating interest rate Uncertain differential equation 



This work is supported by Natural Science Foundation of Shandong Province (ZR2014GL002).

Compliance with ethical standards

Conflict of interest

The authors declare that they have no conflict of interest to this work.


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Copyright information

© Springer-Verlag Berlin Heidelberg 2016

Authors and Affiliations

  1. 1.School of Information EngineeringShandong Youth University of Political ScienceJinanChina

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