The Pricing Problem of Rainbow Option in Uncertain Financial Market

Abstract

In this paper we mainly investigate pricing problems of rainbow option under uncertain financial market. The price of the underlying asset is assumed to obey an uncertain process. Uncertain differential equations are used to build a price model. Furthermore, the differential equations under the uncertain mean-reverting model are solved to deduce the pricing formulas of several rainbow options. Additionally, in order to verify the reasonableness of our pricing formulas, some numerical experiments are designed to show the prices of these options.