Option pricing for an uncertain stock model with jumps
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| 003 | CHVBK | ||
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| 008 | 210128e20151101xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.1007/s00500-015-1635-3 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s00500-015-1635-3 | ||
| 245 | 0 | 0 | |a Option pricing for an uncertain stock model with jumps |h [Elektronische Daten] |c [Xiaoyu Ji, Jian Zhou] |
| 520 | 3 | |a By means of uncertain differential equation, an uncertain stock model usually describes the evolution of the stock price which highly depends on human uncertainty. Considering the sudden drifts on the stock price which might be caused by war, policy or technology, this paper proposes an uncertain stock model with both positive jumps and negative jumps in form of uncertain differential equation with jumps. European option pricing formulas for the proposed stock model are derived, and its monotonicity with respect to the parameters such as initial price, expiration date, and strike price is also studied. | |
| 540 | |a Springer-Verlag Berlin Heidelberg, 2015 | ||
| 690 | 7 | |a Uncertain differential equation |2 nationallicence | |
| 690 | 7 | |a Uncertainty theory |2 nationallicence | |
| 690 | 7 | |a Option pricing formulas |2 nationallicence | |
| 690 | 7 | |a Uncertain finance |2 nationallicence | |
| 700 | 1 | |a Ji |D Xiaoyu |u School of Business, Renmin University of China, 100872, Beijing, China |4 aut | |
| 700 | 1 | |a Zhou |D Jian |u School of Management, Shanghai University, 200444, Shanghai, China |4 aut | |
| 773 | 0 | |t Soft Computing |d Springer Berlin Heidelberg |g 19/11(2015-11-01), 3323-3329 |x 1432-7643 |q 19:11<3323 |1 2015 |2 19 |o 500 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s00500-015-1635-3 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s00500-015-1635-3 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Ji |D Xiaoyu |u School of Business, Renmin University of China, 100872, Beijing, China |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Zhou |D Jian |u School of Management, Shanghai University, 200444, Shanghai, China |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Soft Computing |d Springer Berlin Heidelberg |g 19/11(2015-11-01), 3323-3329 |x 1432-7643 |q 19:11<3323 |1 2015 |2 19 |o 500 | ||