Valuation of power option for uncertain financial market

DOI10.1016/j.amc.2016.04.032zbMath1410.91467OpenAlexW2345628073MaRDI QIDQ1733532

Weiqi Liu, Yuhong Sheng, Zhi-Qiang Zhang

Publication date: 21 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2016.04.032

zbMATH Keywords

uncertainty theorypower optionuncertain differential equationuncertain stock model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• The Pricing of Options and Corporate Liabilities
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• Existence and uniqueness theorem for uncertain differential equations
• Advances in prospect theory: cumulative representation of uncertainty
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• A no-arbitrage theorem for uncertain stock model
• Uncertain term structure model of interest rate
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• A numerical method for solving uncertain differential equations
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