Barrier option pricing formulas of an uncertain stock model

Yao Kai; Qin Zhongfeng

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Barrier option pricing formulas of an uncertain stock model

机译：不确定股票模型的障碍期权定价公式

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As applications of the uncertainty theory to finance, uncertain stock models have been presented to describe the prices of stocks strongly influenced by human uncertainty. So far, large progress has been achieved on pricing problems of path-independent options of the uncertain stock models. This paper investigates a type of path-dependent exotic options of an uncertain stock model which are named barrier options. Pricing formulas are derived based on the structure of the solutions of uncertain differential equations, and numerical algorithms are designed to calculate the prices of the barrier options based on these formulas.

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《Fuzzy Optimization and Decision Making: A Journal of Modeling and Computation Under Uncertainty》 |2021年第1期|共20页
作者
Yao Kai; Qin Zhongfeng;
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作者单位

Univ Chinese Acad Sci Sch Econ &

Management Beijing 100190 Peoples R China;

Beihang Univ Sch Econ &

Management Beijing 100191 Peoples R China;

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原文格式 PDF
正文语种 eng
中图分类运筹学;
关键词
Stock model; Barrier option; Option pricing formula; Uncertain finance;

机译：股票模型;屏障选项;选项定价公式;不确定的财务;

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Barrier option pricing formulas of an uncertain stock model

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