Asian-barrier option pricing formulas of uncertain financial market

被引：50
|
作者：
Yang, Xiangfeng [1 ]
Zhang, Zhiqiang [2 ]
Gao, Xin [3 ]
机构：
[1] Univ Int Business & Econ, Sch Informat Technol & Management, Beijing 100029, Peoples R China
[2] Shanxi Datong Univ, Sch Math & Stat, Datong 037009, Peoples R China
[3] North China Elect Power Univ, Sch Math Sci & Phys, Beijing 102206, Peoples R China
来源：
CHAOS SOLITONS & FRACTALS | 2019年 / 123卷
关键词：
Uncertainty theory; Uncertain stock model; Barrier option; Asian option; Option pricing; STOCK MODEL;
D O I：
10.1016/j.chaos.2019.03.037
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Barrier option is an exotic option on an underlying asset whose payoff depends on whether or not the underlying asset's price has reached predetermined barrier level. This paper mainly investigates Asian-barrier option pricing problem under uncertain financial market. Assume that stock price follows an uncertain differential equation, some Asian-barrier option pricing formulas are derived. Moreover, several numerical examples are given to illustrate the effectiveness of the proposed model. (C) 2019 Elsevier Ltd. All rights reserved.
引用
收藏
页码：79 / 86
页数：8
相关论文
共 50 条
  • [21] European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial Market
    Zhang, Lidong
    Sun, Yanmei
    Meng, Xiangbo
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2020, 2020
  • [22] Asian-barrier options for an uncertain stock model with floating interest rate
    Jia, Lifen
    Zhang, Linya
    Liu, Xueyong
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2025,
  • [23] Critical value-based Asian option pricing model for uncertain financial markets
    Lu, Ziqiang
    Zhu, Yuanguo
    Li, Bo
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 525 : 694 - 703
  • [24] Exponential Ornstein-Uhlenbeck model for Asian barrier option pricing in uncertain environment
    Abbasi, Behzad
    Nouri, Kazem
    JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS, 2025, 42 (01) : 525 - 551
  • [25] Integral Approach to Asian Barrier Option Pricing
    Aimi, A.
    Diazzi, L.
    Guardasoni, C.
    INTERNATIONAL CONFERENCE ON NUMERICAL ANALYSIS AND APPLIED MATHEMATICS (ICNAAM-2018), 2019, 2116
  • [26] Bermudan options pricing formulas in uncertain financial markets
    Pan, Zeyu
    Gao, Yin
    Yuan, Lin
    CHAOS SOLITONS & FRACTALS, 2021, 152
  • [27] Pricing formulas of binary options in uncertain financial markets
    Yang, Ming
    Gao, Yin
    AIMS MATHEMATICS, 2023, 8 (10): : 23336 - 23351
  • [28] Option pricing formulas based on uncertain fractional differential equation
    Weiwei Wang
    Dan A. Ralescu
    Fuzzy Optimization and Decision Making, 2021, 20 : 471 - 495
  • [29] Asian Option Pricing under an Uncertain Volatility Model
    Han, Yuecai
    Liu, Chunyang
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2020, 2020
  • [30] Option pricing formulas based on uncertain fractional differential equation
    Wang, Weiwei
    Ralescu, Dan A.
    FUZZY OPTIMIZATION AND DECISION MAKING, 2021, 20 (04) : 471 - 495
12345