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

页码：79 / 86

页数：8

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