Barrier option pricing formulas of an uncertain stock model

Kai Yao and Zhongfeng Qin ()
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Kai Yao: University of Chinese Academy of Sciences
Zhongfeng Qin: Beihang University

Fuzzy Optimization and Decision Making, 2021, vol. 20, issue 1, No 3, 100 pages

Abstract: Abstract As applications of the uncertainty theory to finance, uncertain stock models have been presented to describe the prices of stocks strongly influenced by human uncertainty. So far, large progress has been achieved on pricing problems of path-independent options of the uncertain stock models. This paper investigates a type of path-dependent exotic options of an uncertain stock model which are named barrier options. Pricing formulas are derived based on the structure of the solutions of uncertain differential equations, and numerical algorithms are designed to calculate the prices of the barrier options based on these formulas.

Keywords: Stock model; Barrier option; Option pricing formula; Uncertain finance (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10700-020-09333-w

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