a new stock model for option pricing in uncertain environment
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abstract
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.
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Journal title:
iranian journal of fuzzy systemsPublisher: university of sistan and baluchestan
ISSN 1735-0654
volume 11
issue 3 2014
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