Uncertain stock model with periodic dividends

被引：78

作者：

Chen, Xiaowei ^{[1
]}

Liu, Yuhan ^{[2
]}

Ralescu, Dan A. ^{[3
]}

机构：

[1] Nankai Univ, Dept Risk Management & Insurance, Tianjin 30071, Peoples R China

[2] Tsinghua Univ, Dept Ind Engn, Beijing 100084, Peoples R China

[3] Univ Cincinnati, Dept Math Sci, Cincinnati, OH 45221 USA

来源：

FUZZY OPTIMIZATION AND DECISION MAKING | 2013年 / 12卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Uncertainty theory; Finance; Option pricing;

D O I：

10.1007/s10700-012-9141-x

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

This paper presents an uncertain stock model with periodic dividends based on uncertainty theory. Some option pricing formulae related to the proposed model are investigated and several numerical examples are discussed to illustrate the related formula.

引用

页码：111 / 123

页数：13

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