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Asian Option Pricing Formula for Uncertain Financial Market

机译：不确定金融市场的亚洲期权定价公式

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摘要

Asian option is an important financial derivative instrument. It has been widely accepted by investors for its risk management property. Uncertain finance is a new field where the risk processes are described by uncertain processes. An asset price is assumed to follow a specific uncertain differential equation other than a stochastic differential equation. In this paper, Asian option models are proposed for uncertain financial market. Besides, Asian option pricing formulae are derived and some mathematical properties are investigated. Since the average price is presented in the Asian pricing formula which is difficult to compute, Yao-Chen formula is employed to solve this problem. Finally, several numerical examples are discussed.
机译：亚洲期权是重要的金融衍生工具。它的风险管理特性已被投资者广泛接受。不确定的金融是一个新的领域，其中的风险过程由不确定的过程来描述。假定资产价格遵循特定的不确定微分方程，而不是随机微分方程。本文针对不确定的金融市场提出了亚洲期权模型。此外，推导了亚洲期权定价公式并研究了一些数学性质。由于平均价格以难以计算的亚洲定价公式表示，因此采用姚晨公式来解决此问题。最后，讨论了几个数值示例。

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