Review paper
Option pricing for an uncertain stock model with jumps
Abstract
By means of uncertain differential equation, an uncertain stock model usually describes the evolution of the stock price which highly depends on human uncertainty. Considering the sudden drifts on the stock price which might be caused by war, policy or technology, this paper proposes an uncertain stock model with both positive jumps and negative jumps in form of uncertain differential equation with jumps. European option pricing formulas for the...
Paper Details
Title
Option pricing for an uncertain stock model with jumps
Published Date
Mar 6, 2015
Journal
Volume
19
Issue
11
Pages
3323 - 3329
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