Option Pricing Formulae for Hybrid Stock Model with Randomness and Fuzziness

被引：0
|
作者：
Gao, Xin [1 ]
Ma, Xiaoyong [1 ]
机构：
[1] N China Elect Power Univ, Sch Math & Phys, Beijing 102206, Peoples R China
来源：
PROCEEDINGS OF THE EIGHTH INTERNATIONAL CONFERENCE ON INFORMATION AND MANAGEMENT SCIENCES | 2009年 / 8卷
关键词：
Finance; Hybrid Process; Option Pricing; Liu Process; Liu's Hybrid Stock Model; FUZZY RANDOM-VARIABLES;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The option pricing problem is one of central contents in modem finance. In this paper, European option pricing formulae are formulated for Liu's hybrid stock model with randomness and fuzziness. This formulae may be regarded as a generalization of Black-Scholes formula and Qin-Li's option pricing formula.
引用
收藏
页码：695 / 702
页数：8
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