Pricing exotic options in the incomplete market: an imprecise probability method

DOI10.1002/ASMB.2668MaRDI QIDQ6580712zbMATH OpenFDO

Authors Ting He, Frank P. A. Coolen, Tahani Coolen-Maturi

Publication date 29 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2668

zbMATH Keywords

exotic optionimprecise probabilityincomplete marketnonparametric predictive inferenceuncertainty

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
• Analytical binomial lookback options with double-exponential jumps
• Binomial valuation of lookback options
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Low structure imprecise predictive inference for Bayes' problem
• Nonparametric predictive inference and interval probability
• Nonparametric predictive inference for American option pricing based on the binomial tree model
• Option pricing: A simplified approach
• Posterior Distribution of Percentiles: Bayes' Theorem for Sampling from a Population
• PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD
• The binomial interpolated lattice method for step double barrier options

Cited in

(1)

• A double fuzzy heat kernel framework for NIFTY 50 index options under epistemic ambiguity

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