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Paper Information

Journal:   IRANIAN JOURNAL OF FUZZY SYSTEMS   2014 , Volume 11 , Number 3; Page(s) 27 To 41.
 
Paper: 

A NEW STOCK MODEL FOR OPTION PRICING IN UNCERTAIN ENVIRONMENT

 
 
Author(s):  LI S., PENG J.
 
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Abstract: 

The option-pricing problem is always an important part in modern nance. Assuming that the stock di usion is a constant, some literature has introduced many stock models and given corresponding option pricing formulas within the framework of the uncertainty theory. In this paper, we propose a new stock model with uncertain stock di usion for uncertain markets. Some option pricing formulas on the proposed uncertain stock model are derived and a numerical calculation is illustrated.

 
Keyword(s): UNCERTAINTY THEORY, UNCERTAIN PROCESS, STOCK MODEL, OPTION PRICING
 
References: 
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