模糊环境下多维跳跃扩散市场模型的欧式极大看涨期权定价

Abstract

Abstract:

In this paper, the uncertainty of the multidimensional European maximal call option is characterized by a combination of fuzziness and stochasticity. The pricing formulas for the correspond-ing European maximal call option are given by L$\acute{\rm e}$vy-It$\hat{\rm o}$ formula, when the logarithm of the jump amplitude is with fuzzy normal sum and fuzzy double exponential distribution. A clarity number is given by weighted probability averaging in the valuation of the fuzzy option. Finally, the effects of the variation of the main parameters and different models on the pricing of the European maximal call option are analyzed by numerical simulation.

Key words: fuzzy random variables, fuzzy Lognormal distribution, fuzzy double exponential distribution, European maximal call option

CLC Number:

O211

Hongwei Liu, Yajun Wang, Pengcheng Ma. European Maximal Call Options Pricing in a Multidimensional Jump Diffusion Market Model Under a Fuzzy Environment[J].Acta mathematica scientia,Series A, 2026, 46(1): 343-358.

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European Maximal Call Options Pricing in a Multidimensional Jump Diffusion Market Model Under a Fuzzy Environment

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