Research on Option Pricing Model under Uncertainty

Kun Long Zhang; Li Xia Song

doi:10.4028/www.scientific.net/AMM.513-517.3156

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 513-517Research on Option Pricing Model under Uncertainty

Research on Option Pricing Model under Uncertainty

Abstract:

In the real financial market, there are always other uncertain phenomena, such as fuzzy phenomenon, random phenomenon. Along with empirical study increasing investigator discovered that this kind of uncertainty affects policy-maker's behavior choice and the asset price change. Researcher pay more and more attention to the problems on the option pricing under in uncertain environments, Therefore, the paper shows that options can be valued successfully in uncertain environments, some option pricing models are established, the corresponding algorithm is designed to solve these models.

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Periodical:

Applied Mechanics and Materials (Volumes 513-517)

Pages:

3156-3159

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.513-517.3156

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Online since:

February 2014

Authors:

Kun Long Zhang*, Li Xia Song

Keywords:

Fuzzy Option Pricing Model, Fuzzy Set Theory, Option Pricing Model, Uncertainty

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