Title of article
Binary option pricing formulas for fuzzy financial market based on the exponential Ornstein-Uhlenbeck model
Author/Authors
Wei ، X. Y. College of Mathematics and Information Science - Hebei University , You ، C. L. Hebei Key Lab of Machine Learning and Computation Intelligence - Hebei University , Liang ، X. Y. College of Mathematics and Information Science - Hebei University
From page
81
To page
95
Abstract
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.
Keywords
Credibility theory , fuzzy differential equation , Liu process , Option pricing , exponential Ornstein , Uhlenbeck model
Journal title
Iranian Journal of Fuzzy Systems (IJFS)
Journal title
Iranian Journal of Fuzzy Systems (IJFS)
Record number
2740672
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