Barrier option pricing of mean-reverting stock model in uncertain environment

DOI10.1016/j.matcom.2019.04.009OpenAlexW2946244885MaRDI QIDQ1997677

Yanyan Li

Publication date: 2 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2019.04.009

zbMATH Keywords

uncertainty theorybarrier optionuncertain differential equationmean-reverting stock model

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Related Items (17)

First hitting time about solution for an uncertain fractional differential equation and application to an uncertain risk index model ⋮ Parameter estimation of uncertain differential equation with application to financial market ⋮ Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type ⋮ European option pricing under multifactor uncertain volatility model ⋮ Equity warrants pricing problem of mean-reverting model in uncertain environment ⋮ Bermudan options pricing formulas in uncertain financial markets ⋮ Optimal harvesting strategy based on uncertain logistic population model ⋮ Pricing of equity swaps in uncertain financial market ⋮ Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market ⋮ Lookback option pricing problem of mean-reverting stock model in uncertain environment ⋮ Reliability analysis of the uncertain fractional‐order dynamic system with state constraint ⋮ Pricing rainbow option for uncertain financial market ⋮ Barrier option pricing formulas of an uncertain stock model ⋮ European barrier option pricing formulas of uncertain currency model ⋮ Asian rainbow option pricing formulas of uncertain stock model ⋮ Equity warrants model based on uncertain exponential Ornstein-Uhlenbeck equation ⋮ RELIABILITY INDEX AND OPTION PRICING FORMULAS OF THE FIRST-HITTING TIME MODEL BASED ON THE UNCERTAIN FRACTIONAL-ORDER DIFFERENTIAL EQUATION WITH CAPUTO TYPE

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• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
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• Uncertainty theory

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