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

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

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• General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options
• A numerical method for solving uncertain differential equations
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• Option pricing when underlying stock returns are discontinuous
• Uncertainty theory