European option pricing under multifactor uncertain volatility model

被引：0
|
作者：
Sabahat Hassanzadeh
Farshid Mehrdoust
机构：
[1] University of Guilan,Department of Applied Mathematics, Faculty of Mathematical Science
来源：
Soft Computing | 2020年 / 24卷
关键词：
Uncertainty theory; Liu process; Multifactor model; European option;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper presents an uncertain stock model under the multifactor uncertain volatility framework. Based on the uncertainty theory, some closed-form and analytical formulas presented to value a European call and put option under the multifactor uncertain volatility model. Numerical tests are reported to highlight how the proposed model provides interesting results on pricing a European option. Finally, we summarize the theoretical results and some numerical experiments.
引用
收藏
页码：8781 / 8792
页数：11
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