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Option pricing formulas for uncertain financial market based on the exponential Ornstein–Uhlenbeck model
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نویسنده
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Dai Lanruo ,Fu Zongfei ,Huang Zhiyong
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منبع
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journal of intelligent manufacturing - 2017 - دوره : 28 - شماره : 3 - صفحه:597 -604
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چکیده
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Uncertain finance is an application of uncertainty theory in the field of finance. this paper investigates the uncertain financial market based on the exponential ornstein–uhlenbeck model. european option pricing formulas and american option pricing formulas are derived via the $$alpha $$ -path method. finally, some mathematical properties of the uncertain option pricing formulas are discussed.
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کلیدواژه
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Uncertain variable ,Uncertain process ,Exponential Ornstein–Uhlenbeck model ,Option pricing
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آدرس
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Renmin University of China, China, Renmin University of China, China, Renmin University of China, China
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Authors
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