caa a22 4500 60547074X CHVBK 20210128100329.0 cr unu---uuuuu 210128e20151101xx s 000 0 eng 10.1007/s00500-015-1635-3 doi (NATIONALLICENCE)springer-10.1007/s00500-015-1635-3 Option pricing for an uncertain stock model with jumps [Elektronische Daten] [Xiaoyu Ji, Jian Zhou] 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. Springer-Verlag Berlin Heidelberg, 2015 Uncertain differential equation nationallicence Uncertainty theory nationallicence Option pricing formulas nationallicence Uncertain finance nationallicence Ji Xiaoyu School of Business, Renmin University of China, 100872, Beijing, China aut Zhou Jian School of Management, Shanghai University, 200444, Shanghai, China aut Soft Computing Springer Berlin Heidelberg 19/11(2015-11-01), 3323-3329 1432-7643 19:11<3323 2015 19 500 https://doi.org/10.1007/s00500-015-1635-3 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s00500-015-1635-3 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Ji Xiaoyu School of Business, Renmin University of China, 100872, Beijing, China aut NATIONALLICENCE 700 1- Zhou Jian School of Management, Shanghai University, 200444, Shanghai, China aut NATIONALLICENCE 773 0- Soft Computing Springer Berlin Heidelberg 19/11(2015-11-01), 3323-3329 1432-7643 19:11<3323 2015 19 500