Asian Option Pricing Formula for Uncertain Financial Market
Asian option is a important instrument of financial market.It has been widely accepted by investors for its risk management property.Uncertain finance is an application of uncertainty process in the field of finance where the asset price is assmed following undertain differential equation.In this paper, Asian option is proposed for uncertain financial market.Besides, Asian option pricing formulae are derived for uncertain financial market and some mathematical properties are investgated.Since the average price is presented in the pricing formula which is hard to compute, Yao-Chen formula is employed in solving this problem.Finally, some numerical examples are discussed.
Finance uncertain process Asian option pricing formula
Jiajun Sun Xiaowei Chen
Uncertainty Theory Laboratory, Department of Mathematical Sciences,Tsinghua University, Beijing 1000 Department of Risk Management and Insurance, Nankai University, Tianjin 300071, China
国内会议
桂林
英文
201-208
2013-05-17（万方平台首次上网日期，不代表论文的发表时间）