Binary option pricing formulas for fuzzy financial market based on the exponential Ornstein-Uhlenbeck model

سال انتشار: 1402
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 65

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شناسه ملی سند علمی:

JR_IJFS-20-4_006

تاریخ نمایه سازی: 26 تیر 1402

چکیده مقاله:

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.

نویسندگان

Xinyue Wei

Hebei University

Cuilian You

Hebei University

Xinyue Liang

College of Mathematics and Information Science, Hebei University, Baoding , China

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