A Stock Model with Varying Stock Diffusion for Uncertain Market

被引：1
|
作者：
Li, Shengguo [1 ,2 ]
Peng, Jin [1 ,2 ]
Zhang, Bo [3 ]
机构：
[1] Huanggang Normal Univ, Inst Uncertain Syst, Huanggang 438000, Hubei, Peoples R China
[2] Hubei Key Lab Appl Math, Wuhan 430062, Hubei, Peoples R China
[3] Zhongnan Univ Econ & Law, Sch Stat & Math, Wuhan 430073, Hubei, Peoples R China
来源：
INTERNATIONAL JOURNAL OF UNCERTAINTY FUZZINESS AND KNOWLEDGE-BASED SYSTEMS | 2018年 / 26卷 / 04期
基金：
中国国家自然科学基金;
关键词：
Uncertainty theory; stock model; European option; uncertain finance; OPTIONS;
D O I：
10.1142/S0218488518500319
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
The option-pricing problem is an important topic in modern finance. In this paper, we propose a stock model with varying stock diffusion based on uncertainty theory. The European option pricing formulas are derived from the proposed uncertain stock model, and some mathematical properties of these formulas are investigated. Moreover, extended uncertain stock models are introduced and discussed. Finally, numerical examples are given to illustrate the proposed model.
引用
收藏
页码：679 / 692
页数：14
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