Option pricing formulas for uncertain financial market based on the exponential Ornstein–Uhlenbeck model

Lanruo Dai (), Zongfei Fu () and Zhiyong Huang ()
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Lanruo Dai: Renmin University of China
Zongfei Fu: Renmin University of China
Zhiyong Huang: Renmin University of China

Journal of Intelligent Manufacturing, 2017, vol. 28, issue 3, No 12, 597-604

Abstract: Abstract Uncertain finance is an application of uncertainty theory in the field of finance. This paper investigates the uncertain financial market based on the exponential Ornstein–Uhlenbeck model. European option pricing formulas and American option pricing formulas are derived via the $$\alpha $$ α -path method. Finally, some mathematical properties of the uncertain option pricing formulas are discussed.

Keywords: Uncertain variable; Uncertain process; Exponential Ornstein–Uhlenbeck model; Option pricing (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (8)

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DOI: 10.1007/s10845-014-1017-1

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