Pricing forward-start style exotic options under uncertain stock models with periodic dividends-Reference-Cited by-同舟云学术

Pricing forward-start style exotic options under uncertain stock models with periodic dividends

Published:2024 Issue:9 Volume:9 Page:24934-24954
ISSN:2473-6988
Container-title:AIMS Mathematics
language:
Short-container-title:MATH

Author:

Hussain Javed¹,Shahid Saba¹,Saeed Tareq²

Affiliation:

1. Department of Mathematics, Sukkur-IBA University, Sukkur 65200, Pakistan

2. Financial Mathematics and Actuarial Science (FMAS)-Research Group, Department of Mathematics, Faculty of Science, King Abdulaziz University, P.O. Box 80203, Jeddah 21589, Saudi Arabia

Abstract

<p>In this study, we derived pricing formulas for various forward-start style exotic options based on an uncertain stock models with periodic dividends. Specifically, we present valuations for forward-start, Cliquet/Ratchet, and spread options. In addition, we conducted numerical simulations of these formulas and compared them to pricing formulas for the same options based on a dividend-paying stock model driven by standard Brownian motion.</p>

Publisher

American Institute of Mathematical Sciences (AIMS)

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