Compound option pricing problem in uncertain environment

被引：6

作者：

Wu H. ^{[1
]}

Ni Y. ^{[1
]}

Yang X. ^{[1
]}

机构：

[1] School of Information Technology and Management, University of International Business and Economics, Beijing

来源：

Journal of Ambient Intelligence and Humanized Computing | 2024年 / 15卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Compound option; Parameter estimation; Uncertain differential equation; Uncertainty theory;

D O I：

10.1007/s12652-023-04716-4

中图分类号：

学科分类号：

摘要：

A compound option, or option on option, is a kind of option that gives the investor a right to obtain the underlying option. Unlike the European option, pricing the compound options involves two periods and two kinds of underlying assets, which will be more complex. This paper researches the compound options based on the general uncertain stock model and derives the general pricing formulae for four types of compound options. Based on the general pricing formulae, two examples of the mean-reverting process are shown in this paper. The paper also designs related numerical algorithms for computing the price in these examples. © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2023.

引用

页码：593 / 605

页数：12

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