Asian-barrier option pricing formulas of uncertain financial market

By Xiangfeng Yang, Zhiqiang Zhang, Xin Gao. Chaos, Solitons & Fractals, 2019

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Abstract Barrier option is an exotic option on an underlying asset whose payoff depends on whether or not the underlying asset’s price has reached predetermined barrier level. This paper mainly investigates Asian-barrier option pricing problem under uncertain financial market. Assume that stock price follows an uncertain differential equation, some Asian-barrier option pricing formulas are derived. Moreover, several numerical examples are given to illustrate the effectiveness of the proposed model.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/6c8ca2fb92aac202158f89f983897add3222da9c