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Geometric Average Asian Option Pricing Problems of Uncertain Exponential Ornstein-Uhlenbeck Model
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LIU Zhaopeng
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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.
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Published: 25 July 2020
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