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Geometric Asian barrier option pricing formulas of uncertain stock model

  • Published:2020-11 Issue: Volume:140 Page:110178
  • ISSN:0960-0779
  • Container-title:Chaos, Solitons & Fractals
  • language:en
  • Short-container-title:Chaos, Solitons & Fractals

Author:

Gao Rong,Wu Wei,Lang Chao,Lang Liying

Funder

Natural Science Foundation of Hebei Province

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

General Mathematics,General Physics and Astronomy,Statistical and Nonlinear Physics,Applied Mathematics

Reference31 articles.

1. Numerical pricing of geometric asian options with barriers;Aimi;Math Methods Appl Sci,2018

2. Théorie de la spéculation;Bachelier;Annales scientifiques de L’École normale supérieure,1900

3. The pricing of options and corporate liabilities;Black;J Polit Economy,1973

4. A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion;Ballestra;Chaos Solitons Fractals,2016

5. Uncertain stock model with periodic dividends;Chen;Fuzzy Optim Decis Making,2013

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