Option pricing formulas for uncertain financial market based on the exponential Ornstein–Uhlenbeck model

详细信息    查看全文

• 作者：Lanruo Dai ; Zongfei Fu ; Zhiyong Huang
• 关键词：Uncertain variable ; Uncertain process ; Exponential Ornstein–Uhlenbeck model ; Option pricing
• 刊名：Journal of Intelligent Manufacturing
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：28
• 期：3
• 页码：597-604
• 全文大小：
• 刊物类别：Business and Economics
• 刊物主题：Production; Manufacturing, Machines, Tools; Control, Robotics, Mechatronics;
• 出版者：Springer US
• ISSN：1572-8145
• 卷排序：28

文摘

Uncertain finance is an application of uncertainty theory in the field of finance. This paper investigates the uncertain financial market based on the exponential Ornstein–Uhlenbeck model. European option pricing formulas and American option pricing formulas are derived via the \(\alpha \)-path method. Finally, some mathematical properties of the uncertain option pricing formulas are discussed.