Valuation of European option under uncertain volatility model

DOI10.1007/s00500-017-2633-4zbMath1398.91597OpenAlexW2616402233MaRDI QIDQ1800249

Sabahat Hassanzadeh, Farshid Mehrdoust

Publication date: 23 October 2018

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-017-2633-4

zbMATH Keywords

uncertain volatility modeluncertainty theoryEuropean option pricinguncertain finance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fuzzy measure theory (28E10)

Related Items (10)

Parameter estimation of uncertain differential equation with application to financial market ⋮ European option pricing under multifactor uncertain volatility model ⋮ Optimal harvesting strategy based on uncertain logistic population model ⋮ Valuation of lookback option under uncertain volatility model ⋮ Uncertain energy model for electricity and gas futures with application in spark-spread option price ⋮ An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility ⋮ Asian-barrier option pricing formulas of uncertain financial market ⋮ Interest-rate products pricing problems with uncertain jump processes ⋮ Valuation of stock loan under uncertain stock model with floating interest rate ⋮ Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region

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