a new stock model for option pricing in uncertain environment
نویسندگان
چکیده
the option-pricing problem is always an important part in modern finance. assuming that the stock diffusion 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 diffusion for uncertain markets. some option pricing formulas on the proposed uncertain stock model are derived and a numerical calculation is illustrated.
منابع مشابه
A New Stock Model for Option Pricing in Uncertain Environment
The option-pricing problem is always an important part in modern finance. Assuming that the stock diffusion 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 diffusion for uncertain markets. Some option pricing formulas on...
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عنوان ژورنال:
iranian journal of fuzzy systemsناشر: university of sistan and baluchestan
ISSN 1735-0654
دوره 11
شماره 3 2014
کلمات کلیدی
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