Publicou 6 edições por ano
ISSN Imprimir: 2152-5080
ISSN On-line: 2152-5099
Indexed in
PRICING ASIAN OPTIONS IN AN UNCERTAIN STOCK MODEL WITH FLOATING INTEREST RATE
RESUMO
Option pricing has always been an important issue in the financial field. Unlike the classical stochastic theory, we investigate the valuation of Asian options under the assumption that the risk factors are described by uncertain processes. Early researchers have presented some uncertain stock models to simulate the financial market. In this paper, we propose a new uncertain stock model with floating interest rate, where the process of interest rate is assumed to be the uncertain counterpart of the Cox-Ingersoll-Ross (CIR) model. Subsequently, Asian option pricing formulas of the proposed model are derived and some mathematical properties of the formulas are studied. Finally, some numerical algorithms are designed to calculate the prices of Asian options and some numerical examples are performed.
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Wang Weiwei, Chen Ping, Valuation of stock loan under uncertain stock model with floating interest rate, Soft Computing, 24, 3, 2020. Crossref
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Liu Zhaopeng, Cacace Filippo, Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate, Discrete Dynamics in Nature and Society, 2020, 2020. Crossref
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Liu Zhaopeng, Lookback Option Pricing Problems of Uncertain Mean-Reverting Stock Model, Journal of Advanced Computational Intelligence and Intelligent Informatics, 25, 5, 2021. Crossref