American Option Pricing Formula for Uncertain Financial Market
نویسنده
چکیده
Option pricing is the the core content of modern finance. American option is widely accepted by investors for its flexibility of exercising time. In this paper, American option pricing formula is calculated for uncertain financial market and some mathematical properties of them are discussed. In addition, some examples are proposed. keywords: finance, uncertain process, option pricing
منابع مشابه
American Option Pricing of Future Contracts in an Effort to Investigate Trading Strategies; Evidence from North Sea Oil Exchange
In this paper, Black Scholes’s pricing model was developed to study American option on future contracts of Brent oil. The practical tests of the model show that market priced option contracts as future contracts less than what model did, which mostly represent option contracts with price rather than without price. Moreover, it suggests call option rather than put option. Using t hypothesis test...
متن کاملJournal of Uncertain Systems
The option pricing problem is one of central contents in modern finance. In this paper, European option pricing formula is formulated for fuzzy financial market and some mathematical properties of them are discussed. This formula may be regarded as the fuzzy counterpart of Black-Scholes option pricing formula. In addition, some illustrative examples are also documented with MATLAB codes. c ©200...
متن کاملOption Pricing Formula for Fuzzy Financial Market
The option pricing problem is one of central contents in modern finance. In this paper, European option pricing formula is formulated for fuzzy financial market and some mathematical properties of them are discussed. This formula may be regarded as the fuzzy counterpart of Black-Scholes option pricing formula. In addition, some illustrative examples are also documented with MATLAB codes. c ©200...
متن کاملMulti-asset Option Pricing in an Uncertain Financial Market with Jump Risk
*Correspondence: [email protected] 1School of Management, Hebei University, Baoding 071002, China 2School of Science, Hebei University of Engineering, Handan 056038, China Abstract Multi-asset options are created to accelerate investment among countries with the development of globalization and financial market integration. Considering the human uncertainty and the influence of sudden events...
متن کاملOption Pricing Formula for Generalized Stock Models
The stock model and option pricing problem are central contents in modern finance. In this paper, generalized stock model for financial market is proposed and the European option pricing formula for the generalized stock model is computed.
متن کامل