Option pricing for an uncertain stock model with jumps
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Publication:521732
DOI10.1007/S00500-015-1635-3zbMATH Open1411.91565OpenAlexW2057112219MaRDI QIDQ521732FDOQ521732
Authors: 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
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Derivative securities (option pricing, hedging, etc.) (91G20) Fuzzy ordinary differential equations (34A07)
Cites Work
- The pricing of options and corporate liabilities
- On stochastic differential equations
- Uncertainty theory
- A sufficient and necessary condition of uncertainty distribution
- Stochastic integral
- Uncertain calculus with renewal process
- A new option pricing model for stocks in uncertainty markets
- Existence and uniqueness theorem for uncertain differential equations
- Some stability theorems of uncertain differential equation
- Uncertain term structure model of interest rate
- Delayed renewal process with uncertain interarrival times
- Uncertain stock model with periodic dividends
- A stock model with jumps for uncertain markets
- American option pricing formula for uncertain financial market
- Uncertain differential equation with jumps
- A formula to calculate the variance of uncertain variable
Cited In (37)
- A dynamic pricing model of the reload stock option with two barriers under Knightian uncertainty -- the method of option pricing based on the solution of BSDE
- Analysis and simulation of stock price in a stochastic volatility model with jumps
- A new stock model for option pricing in uncertain environment
- The covariance of uncertain variables: definition and calculation formulae
- A stock model with jumps for uncertain markets
- European option pricing under multifactor uncertain volatility model
- Uncertain Stochastic Option Pricing in the Presence of Uncertain Jumps
- A currency exchange rate model with jumps in uncertain environment
- Uncertain stock model with periodic dividends
- Optimal harvesting strategy based on uncertain logistic population model
- Option pricing model with sentiment
- Age-structured population model under uncertain environment
- Parameter estimation in uncertain differential equations
- Asian-barrier option pricing formulas of uncertain financial market
- Minimal pricing models of European stock options under Knight uncertainty
- American rainbow option pricing formulae in uncertain environment
- No-arbitrage theorem for multi-factor uncertain stock model with floating interest rate
- Credit derivatives pricing model for fuzzy financial market
- A stock model with varying stock diffusion for uncertain market
- Barrier option pricing formulas of an uncertain stock model
- Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation
- Parameter estimation of uncertain differential equation with application to financial market
- Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model
- An interest-rate model with jumps for uncertain financial markets
- Fractional Liu uncertain differential equation and its application to finance
- A new option pricing model for stocks in uncertainty markets
- Uncertainty theory as a basis for belief reliability
- On a Heath-Jarrow-Morton approach for stock options
- A stock model with jumps for Itô-Liu financial markets
- Exponential Ornstein-Uhlenbeck model for Asian barrier option pricing in uncertain environment
- Mean-reverting stock model with floating interest rate in uncertain environment
- Lookback option pricing problem of mean-reverting stock model in uncertain environment
- Asian option pricing problems of uncertain mean-reverting stock model
- Valuation of European option under uncertain volatility model
- Valuation of stock loan under uncertain environment
- Parametric optimal control of uncertain systems under an optimistic value criterion
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