期刊
APPLIED MATHEMATICS AND COMPUTATION
卷 286, 期 -, 页码 257-264出版社
ELSEVIER SCIENCE INC
DOI: 10.1016/j.amc.2016.04.032
关键词
Uncertainty theory; Uncertain differential equation; Uncertain stock model; Power option
资金
- National Natural Science Foundation of China [61563050]
Power option is such an option whose payoffis based on the price of the underlying asset raised to some power. Unlike Black-Scholes setting, we investigate the valuation of power options under the assumption that the underlying stock price is assumed to follow an uncertain differential equation, and derive the pricing formulas of power options for Liu's uncertain stock model with the method of uncertain calculus based on uncertainty theory. Some numerical examples are given to illustrate the pricing formulas. (C) 2016 Elsevier Inc. All rights reserved.
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