不确定指数O-U过程下几何平均亚式期权定价

doi:10.16039/j.cnki.cn22-1249.2020.07.004

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摘要

不确定理论在解决金融问题中发挥着越来越重要的作用。基于不确定指数Ornstein-Uhlenbeck过程研究了亚式期权定价问题，运用轨道方法，分别推导了几何平均亚式看涨期权和看跌期权定价公式，并讨论了不确定期权定价公式的数学性质，最后给出一些数值算例。

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	刘兆鹏

关键词: 指数O-U过程不确定理论不确定微分方程几何平均亚式期权

Abstract:

Uncertainty theory is playing a more and more important role in solving the financial problems. This paper investigates the uncertain financial market based on the uncertain exponential Ornstein–Uhlenbeck model. Geometric average Asian call option pricing formula and put option pricing formula are derived via the α-path method. Some mathematical properties of the uncertain option pricing formulas are discussed. Finally, several numerical examples are given.

Key words: exponential O-U process uncertainty theory uncertain differential equation geometric average asian option

出版日期: 2020-07-25 发布日期: 2020-07-25 整期出版日期: 2020-07-25

O211.6，F830.9

引用本文:

刘兆鹏. 不确定指数O-U过程下几何平均亚式期权定价 [J]. 吉林化工学院学报, 2020, 37(7): 13-17.
LIU Zhaopeng. Geometric Average Asian Option Pricing Problems of Uncertain Exponential Ornstein-Uhlenbeck Model . Journal of Jilin Institute of Chemical Technology, 2020, 37(7): 13-17.

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https://xuebao.jlict.edu.cn/CN/10.16039/j.cnki.cn22-1249.2020.07.004 或 https://xuebao.jlict.edu.cn/CN/Y2020/V37/I7/13

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