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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