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(2211-7750) Binary option pricing formulas for fuzzy financial market based on the exponential ornstein-uhlenbeck model | ||
Iranian Journal of Fuzzy Systems | ||
مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 14 فروردین 1402 اصل مقاله (775.89 K) | ||
نوع مقاله: Research Paper | ||
شناسه دیجیتال (DOI): 10.22111/ijfs.2023.7548 | ||
نویسندگان | ||
X. Y. Wei1؛ C. L. You* 1، 2؛ X. Y. Liang1 | ||
1College of Mathematics and Information Science, Hebei University, Baoding 071002, China | ||
2Hebei Key Lab of Machine Learning and Computation Intelligence, Hebei University, Baoding 071002, China | ||
چکیده | ||
Binary option is an exotic option which is popular in Over the Counter market for hedging and speculation. According to their different payoff, there are two types of binary options, that is, cash-or-nothing and asset-or-nothing option. This paper investigates the fuzzy financial market based on the exponential Ornstein-Uhlenbeck model and derives binary option pricing formulas. In order to better understand the mathematical properties of these formulas, we give a few numerical examples and some figures to illustrate the changes of binary option price with different parameters when others are fixed. | ||
کلیدواژهها | ||
Credibility theory؛ fuzzy differential equation؛ Liu process؛ option pricing؛ exponential Ornstein-Uhlenbeck model | ||
آمار تعداد مشاهده مقاله: 22 تعداد دریافت فایل اصل مقاله: 29 |