European Option Pricing Under Fuzzy CEV Model

被引：1
|
作者：
Wei, Xinyue [1 ]
You, Cuilian [1 ,2 ]
Zhang, Yujie [1 ]
机构：
[1] Hebei Univ, Coll Math & Informat Sci, Baoding 071002, Peoples R China
[2] Hebei Univ, Hebei Key Lab Machine Learning & Computat Intelli, Baoding 071002, Peoples R China
来源：
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2023年 / 196卷 / 02期
关键词：
Credibility measure; Fuzzy differential equation; Liu process; Option pricing; Constant elasticity of variance; OF-LOSS REINSURANCE; INVESTMENT;
D O I：
10.1007/s10957-022-02108-w
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In modern financial market, option is a very effective tool to hedge the risks brought by various uncertainties in real society. Therefore, it is of great significance to select an appropriate stock model to price options. To this aim, the paper presents a general stock model with fuzzy volatility for fuzzy financial market, that is, fuzzy constant elasticity of variance model. The advantage is that the fuzzy volatility of underlying stock is related to its price and can explain volatility smile. In addition, we consider the impact of elasticity coefficient on stock price and then limit the elasticity coefficient to a reasonable range. Subsequently, the European call and European put option pricing formulas are given, separately. Finally, some figures and tables are given to illustrate the impact of parameter changes on option prices.
引用
收藏
页码：415 / 432
页数：18
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