Asian option pricing problems of uncertain mean-reverting stock model

DOI10.1007/s00500-017-2524-8zbMath1398.91617OpenAlexW2590563850MaRDI QIDQ1800320

Jichang Dong, Yiyao Sun, Kai Yao

Publication date: 23 October 2018

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

Full work available at URL: https://doi.org/10.1007/s00500-017-2524-8

zbMATH Keywords

Asian optionuncertainty theoryuncertain differential equationstock model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fuzzy ordinary differential equations (34A07)

Related Items (5)

Bermudan options pricing formulas in uncertain financial markets ⋮ Preface: Special issue on optimization with uncertain information: a perspective of soft computing ⋮ Multi-period mean-semivariance portfolio optimization based on uncertain measure ⋮ Option pricing and the Greeks under Gaussian fuzzy environments ⋮ Power Option Pricing Problem Based on Uncertain Mean-Reverting Stock Model with Floating Interest Rate

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• Chance-constrained model for uncertain job shop scheduling problem
• Uncertain bimatrix game with applications
• Uncertain stock model with periodic dividends
• The value of an Asian option
• A numerical method for solving uncertain differential equations
• Uncertainty theory

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