Option pricing for an uncertain stock model with jumps

DOI10.1007/s00500-015-1635-3zbMath1411.91565OpenAlexW2057112219MaRDI QIDQ521732

Yong-Cai Geng, Sumit K. Garg

Publication date: 12 April 2017

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

Full work available at URL: https://doi.org/10.1007/s00500-015-1635-3

zbMATH Keywords

uncertainty theoryuncertain differential equationoption pricing formulasuncertain finance

Mathematics Subject Classification ID

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

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Cites Work

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• A STOCK MODEL WITH JUMPS FOR UNCERTAIN MARKETS
• A sufficient and necessary condition of uncertainty distribution
• On stochastic differential equations
• Stochastic integral
• Uncertainty theory

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