Abstract
An Asian option is a special type of option contract which reduces the volatility inherent in the option because of the averaging feature, so it is one of the most actively exotic options traded in today’s financial derivative market. As an application of the uncertain process in the field of finance, the uncertain finance assumes that the asset price follows an uncertain differential equation. In this paper, Asian options are proposed in the uncertain financial market based on a mean-reverting stock model and their pricing formulas are derived. In addition, some numerical algorithms are designed to compute the prices of the Asian options on the basis of the pricing formulas.
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