Knock-in options of an uncertain stock model with floating interest rate

被引：10
|
作者：
Jia, Lifen [1 ]
Chen, Wei [1 ]
机构：
[1] Capital Univ Econ & Business, Sch Management & Engn, Beijing, Peoples R China
来源：
CHAOS SOLITONS & FRACTALS | 2020年 / 141卷
基金：
国家教育部科学基金资助;
关键词：
Barrier option; Uncertain finance; Uncertain differential equation; Option pricing formula;
D O I：
10.1016/j.chaos.2020.110324
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Knock-in options are a type of barrier options which are path-dependent and get activated if the prices of underlying assets reach predetermined levels. This paper studies knock-in options in an uncertain market where the stock price follows a geometric process and the interest rate is dynamic. Pricing formulas of the knock-in call options and put options are derived by means of alpha-paths of uncertain differential equations. Numerical algorithms are designed and illustrated via some numerical experiments. (C) 2020 Elsevier Ltd. All rights reserved.
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页数：8
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