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
  • [41] Equity Warrants Pricing Formula for Uncertain Financial Market
    Shokrollahi, Foad
    MATHEMATICAL AND COMPUTATIONAL APPLICATIONS, 2022, 27 (02)
  • [42] Option pricing formulas in a new uncertain stock model with floating interest rate
    Lv Guiwen
    Liu Lixia
    Li Wenhan
    JOURNAL OF INTELLIGENT & FUZZY SYSTEMS, 2017, 33 (04) : 2485 - 2496
  • [43] Option pricing formulas for uncertain exponential Ornstein-Uhlenbeck model with dividends
    Liu, Yi
    Yao, Kai
    SOFT COMPUTING, 2021, 25 (01) : 673 - 681
  • [44] American barrier swaption pricing problem of exponential Ornstein-Uhlenbeck model in uncertain financial market
    Li, Dongao
    Jiang, Jiarui
    Jia, Lifen
    MATHEMATICAL METHODS IN THE APPLIED SCIENCES, 2025, 48 (02) : 2545 - 2560
  • [45] The pricing formulas of power option
    Zhou, SW
    INSURANCE MATHEMATICS & ECONOMICS, 2003, 32 (03): : 489 - 489
  • [46] Asian option pricing
    Svabova, Lucia
    Durica, Marek
    MANAGING AND MODELLING OF FINANCIAL RISKS - 6TH INTERNATIONAL SCIENTIFIC CONFERENCE PROCEEDINGS, PTS 1 AND 2, 2012, : 600 - +
  • [47] Asian option pricing problems of uncertain mean-reverting stock model
    Yiyao Sun
    Kai Yao
    Jichang Dong
    Soft Computing, 2018, 22 : 5583 - 5592
  • [48] Asian option pricing problems of uncertain mean-reverting stock model
    Sun, Yiyao
    Yao, Kai
    Dong, Jichang
    SOFT COMPUTING, 2018, 22 (17) : 5583 - 5592
  • [49] A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing
    Lin, Y-T
    Shih, Y-T
    Chien, C-S
    Sheng, Q.
    APPLIED MATHEMATICS AND COMPUTATION, 2021, 393
  • [50] Barrier option pricing of mean-reverting stock model in uncertain environment
    Tian, Miao
    Yang, Xiangfeng
    Zhang, Yi
    MATHEMATICS AND COMPUTERS IN SIMULATION, 2019, 166 : 126 - 143
12345