Asian-barrier option pricing formulas of uncertain financial market

被引：52
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 27 条
[1]  
[Anonymous], 2014, J. Uncertain Syst.
[2]  
[Anonymous], 2011, INT J RES
[3]   A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion [J].
Ballestra, Luca Vincenzo ;
Pacelli, Graziella ;
Radi, Davide .
CHAOS SOLITONS & FRACTALS, 2016, 87 :240-248
[4]   Uncertain stock model with periodic dividends [J].
Chen, Xiaowei ;
Liu, Yuhan ;
Ralescu, Dan A. .
FUZZY OPTIMIZATION AND DECISION MAKING, 2013, 12 (01) :111-123
[5]   Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model [J].
Gao, Yin ;
Yang, Xiangfeng ;
Fu, Zongfei .
SOFT COMPUTING, 2018, 22 (17) :5647-5654
[6]   Valuation of European option under uncertain volatility model [J].
Hassanzadeh, Sabahat ;
Mehrdoust, Farshid .
SOFT COMPUTING, 2018, 22 (12) :4153-4163
[7]   Option pricing for an uncertain stock model with jumps [J].
Ji, Xiaoyu ;
Zhou, Jian .
SOFT COMPUTING, 2015, 19 (11) :3323-3329
[8]  
Liu B., 2010, J. Uncertain Syst, V4, P163
[9]  
Liu B., 2009, Journal of Uncertain Systems, V3, P3
[10]  
Liu B., 2013, J. Uncert. Anal. Appl, V1, P1, DOI [DOI 10.1186/2195-5468-1-1, 10.4236/msce.2013.16002, DOI 10.4236/MSCE.2013.16002]
123