Asian rainbow option pricing formulas of uncertain stock model

DOI10.1007/s00500-021-05922-yzbMath1498.91439OpenAlexW3171291117WikidataQ113904976 ScholiaQ113904976MaRDI QIDQ2100224

Rong Gao, Wei Wu, Jie Liu

Publication date: 21 November 2022

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

Full work available at URL: https://doi.org/10.1007/s00500-021-05922-y

zbMATH Keywords

option pricingAsian optionuncertain differential equationrainbow option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

American rainbow option pricing formulae in uncertain environment ⋮ Pricing rainbow option for uncertain financial market ⋮ Proactive hedging European option pricing with a general logarithmic position strategy

Cites Work

• The Pricing of Options and Corporate Liabilities
• Options on the minimum or the maximum of two average prices
• A reliable numerical method to price arithmetic Asian options
• A general framework for pricing Asian options under stochastic volatility on parallel architectures
• Barrier option pricing of mean-reverting stock model in uncertain environment
• Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
• Pricing geometric Asian rainbow options under fractional Brownian motion
• Asian-barrier option pricing formulas of uncertain financial market
• European option pricing model based on uncertain fractional differential equation
• General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options
• A numerical method for solving uncertain differential equations
• Asian option pricing with orthogonal polynomials
• Option pricing when underlying stock returns are discontinuous
• Uncertainty theory

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