Abstract
As applications of the uncertainty theory to finance, uncertain stock models have been presented to describe the prices of stocks strongly influenced by human uncertainty. So far, large progress has been achieved on pricing problems of path-independent options of the uncertain stock models. This paper investigates a type of path-dependent exotic options of an uncertain stock model which are named barrier options. Pricing formulas are derived based on the structure of the solutions of uncertain differential equations, and numerical algorithms are designed to calculate the prices of the barrier options based on these formulas.
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Acknowledgements
This work was supported by the National Natural Science Foundation of China (Grant No. 71771011) and the University of Chinese Academy of Sciences.
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Yao, K., Qin, Z. Barrier option pricing formulas of an uncertain stock model. Fuzzy Optim Decis Making 20, 81–100 (2021). https://doi.org/10.1007/s10700-020-09333-w
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DOI: https://doi.org/10.1007/s10700-020-09333-w