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Option pricing formulas for uncertain financial market based on the exponential Ornstein–Uhlenbeck model

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Abstract

Uncertain finance is an application of uncertainty theory in the field of finance. This paper investigates the uncertain financial market based on the exponential Ornstein–Uhlenbeck model. European option pricing formulas and American option pricing formulas are derived via the \(\alpha \)-path method. Finally, some mathematical properties of the uncertain option pricing formulas are discussed.

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Authors and Affiliations

  1. School of Information, Renmin University of China, Beijing, 100872, China

    Lanruo Dai, Zongfei Fu & Zhiyong Huang

Authors
  1. Lanruo Dai
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  2. Zongfei Fu
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  3. Zhiyong Huang
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Corresponding author

Correspondence to Zongfei Fu.

Additional information

This work was supported by National Natural Science Foundation of China (Grant No. 61074193 and 61374082).

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Dai, L., Fu, Z. & Huang, Z. Option pricing formulas for uncertain financial market based on the exponential Ornstein–Uhlenbeck model. J Intell Manuf 28, 597–604 (2017). https://doi.org/10.1007/s10845-014-1017-1

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  • DOI: https://doi.org/10.1007/s10845-014-1017-1

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