Uncertain Stochastic Option Pricing in the Presence of Uncertain Jumps

DOI10.1142/S0218488519500272OpenAlexW2952074067MaRDI QIDQ5872460

Eriyoti Chikodza, Justin Chirima, Senelani D. Hove-Musekwa

Publication date: 30 January 2023

Published in: International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218488519500272

zbMATH Keywords

epistemic uncertaintyaleatory uncertaintyAmerican call optionsuncertain jumpsuncertain stochastic differential equations

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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