A New Option Pricing Model for Stocks in Uncertainty Markets

By Jin Peng, Kai Yao. 2011

237 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7b6a02ac876c4108192ffe1fe9f6cd4883a10e4c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Kai Yao
2. Xiaowei Chen
3. Jiajun Sun
4. Jin Peng
5. Baoding Liu
6. Dan A. Ralescu
7. Xiangfeng Yang
8. Yuanguo Zhu

Citations in the corpus

• Liu process and uncertain calculus (2013, methodology): “Meanwhile, an uncertain differential equation has been applied to uncertain optimal control by Zhu [21], American option pricing by Chen [22], and other option pricing models by Peng and Yao [23].”
• A numerical method for solving uncertain differential equations (2013, unknown): “The existence and uniqueness of solution of uncertain differential equations were proved by Chen and Liu [1], and stability analysis of uncertain differential equations was given by Yao et al. [18].”
• Uncertain Programming Model for Chinese Postman Problem with Uncertain Weights (2012, methodology): “, 2010), uncertain risk analysis and uncertain reliability analysis (Liu, 2010b), uncertain statistics (Liu, 2010c), uncertain control (Liu, 2010a; Zhu, 2010), and uncertain finance (Liu, 2009a; Peng and Yao, 2011).”
• A type of uncertain differential equations with analytic solution (2013, background): “In 2011, Peng and Yao [20] proposed another model to describe the stock price displaying a mean-reverting property in the long run via uncertain differential equation.”
• Uncertain programming model for uncertain optimal assignment problem (2013, background): “After that, Peng and Yao [30] proposed a new uncertain stock model and some option price formulas.”
• Asian Option Pricing Formula for Uncertain Financial Market (2015, methodology): “Another uncertain stock model was proposed by Peng and Yao [19] in which the stock price is assumed following mean-reversion uncertain differential equations.”
• Toward uncertain finance theory (2013, background): “It is emphasized that other stockmodels were also actively investigated by Peng and Yao [11], Yu [12], and Chen et al.”
• Extreme values and integral of solution of uncertain differential equation (2013, methodology): “After that, Peng and Yao [24] presented a mean-reverting uncertain stock model, and Chen et al [25] proposed an uncertain stock model with periodic dividends.”