Exponential Ornstein-Uhlenbeck model for pricing double barrier options in uncertain environment | ||
| Journal of Mathematics and Modeling in Finance | ||
| دوره 4، شماره 2، اسفند 2024، صفحه 1-16 اصل مقاله (241.72 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2024.80898.1140 | ||
| نویسندگان | ||
| Behzad Abbasi؛ Kazem Nouri* | ||
| Department of Mathematics, Faculty of Mathematics, Statistics and Computer Sciences, Semnan University, P.O. Box 35195-363, Semnan, Iran. | ||
| چکیده | ||
| Option pricing is a fundamental issue in financial markets, and barrier options are a popular type of options that can become valuable or worthless when the underlying asset price reaches a predetermined level. A double barrier option consist two barriers, one situated above and the other below the prevailing stock price. This particular option is categorized as path dependent because the return for the holder is influenced by the stock price’s breach of the two barriers. The double barrier option contract stipulates three specific payoffs, depending on whether the up-barrier or down-barrier is touched, or if there is no breach of either barrier during the entire duration of the option. In this paper, pricing of the double barrier options when the underlying asset price follows the exponential Ornstein-Uhlenbeck model is investigated, and also pricing formulas for different types of double barrier options (knock-in and knock-out) are derived by α-paths of uncertain differential equations in the uncertain environment. | ||
| کلیدواژهها | ||
| Stock model؛ Uncertain process؛ Option Pricing؛ Double barrier option؛ Uncertain differential equations | ||
| مراجع | ||
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آمار تعداد مشاهده مقاله: 965 تعداد دریافت فایل اصل مقاله: 788 |
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