A Mean-Reversion Stock Model with Jumps for Uncertain Markets

摘要：

　　This paper presents a new type of stock model by applying uncertainty theory.This new stock model combines the mean-reversion stock model and the stock model with jumps.Pricing of European and American options are completed on the assumption of the new stock model.

关键词： Uncertainty theory stock model canonical process renewal process option price uncertain differential equations

作者: Zongfei Fu Huan Song Jinwu Gao

作者单位: School of Information,Renmin University of China Beijing,100872,China

会议类型: 国内会议

会议名称: 第十一届中国不确定系统年会、第十五届中国青年信息与管理学者大会

会议地点: 河北邯郸

会议语种:英文

页码: 171-181

在线出版日期: 2013-07-27（万方平台首次上网日期，不代表论文的发表时间）