A New Stock Model for Option Pricing in Uncertain Environment

Document Type: Research Paper

Authors

1 Institute of Uncertain Systems, Huanggang Normal University, Hubei 438000, China

2 School of Mathematics and Statistics, Huazhong Normal University, Hubei 430079, China

Abstract

The option-pricing problem is always an important part in modern finance. Assuming that the stock diffusion is a constant, some literature has introduced many stock models and given corresponding option pricing formulas within the framework of the uncertainty theory. In this paper, we propose a new stock model with uncertain stock diffusion for uncertain markets. Some option pricing formulas on the proposed uncertain stock model are derived and a numerical calculation is illustrated.

Keywords


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