Abstract

The option-pricing problem is an important topic in modern finance. In this paper, we propose a stock model with varying stock diffusion based on uncertainty theory. The European option pricing formulas are derived from the proposed uncertain stock model, and some mathematical properties of these formulas are investigated. Moreover, extended uncertain stock models are introduced and discussed. Finally, numerical examples are given to illustrate the proposed model.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call