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Binary option pricing formulas for fuzzy financial market based on the exponential Ornstein-Uhlenbeck model | ||
| Iranian Journal of Fuzzy Systems | ||
| دوره 20، شماره 4، مهر و آبان 2023، صفحه 81-95 اصل مقاله (777.5 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22111/ijfs.2023.43986.7750 | ||
| نویسندگان | ||
| Xinyue Wei1؛ Cuilian You* 2؛ Xinyue Liang3 | ||
| 1Hebei University | ||
| 2Hebei University | ||
| 3College of Mathematics and Information Science, Hebei University, Baoding , 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 | ||
| مراجع | ||
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