A NEW STOCK MODEL FOR OPTION PRICING IN UNCERTAIN ENVIRONMENT

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LI S.; PENG J.

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ISSN: 2588-4824

Journal Paper

Paper Information

Journal: Iranian Journal of Fuzzy Systems Year:2014 | Volume:11 | Issue:3 Page(s): 27-41

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Title

A NEW STOCK MODEL FOR OPTION PRICING IN UNCERTAIN ENVIRONMENT

Author(s)

LI S. | PENG J. | Issue Writer Certificate

Keywords

UNCERTAINTY THEORY

UNCERTAIN PROCESS

STOCK MODEL

OPTION PRICING

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.

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APA: Copy

LI, S., & PENG, J.. (2014). A NEW STOCK MODEL FOR OPTION PRICING IN UNCERTAIN ENVIRONMENT. IRANIAN JOURNAL OF FUZZY SYSTEMS, 11(3), 27-41. SID. https://sid.ir/paper/629399/en

Vancouver: Copy

LI S., PENG J.. A NEW STOCK MODEL FOR OPTION PRICING IN UNCERTAIN ENVIRONMENT. IRANIAN JOURNAL OF FUZZY SYSTEMS[Internet]. 2014;11(3):27-41. Available from: https://sid.ir/paper/629399/en

IEEE: Copy

S. LI, and J. PENG, “A NEW STOCK MODEL FOR OPTION PRICING IN UNCERTAIN ENVIRONMENT,” IRANIAN JOURNAL OF FUZZY SYSTEMS, vol. 11, no. 3, pp. 27–41, 2014, [Online]. Available: https://sid.ir/paper/629399/en

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