Asian-barrier option pricing formulas of uncertain financial market

Xiangfeng Yang, Zhiqiang Zhang and Xin Gao

Chaos, Solitons & Fractals, 2019, vol. 123, issue C, 79-86

Abstract: Barrier option is an exotic option on an underlying asset whose payoff depends on whether or not the underlying asset’s price has reached predetermined barrier level. This paper mainly investigates Asian-barrier option pricing problem under uncertain financial market. Assume that stock price follows an uncertain differential equation, some Asian-barrier option pricing formulas are derived. Moreover, several numerical examples are given to illustrate the effectiveness of the proposed model.

Keywords: Uncertainty theory; Uncertain stock model; Barrier option; Asian option; Option pricing (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:123:y:2019:i:c:p:79-86

DOI: 10.1016/j.chaos.2019.03.037

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