JACIII Vol.26 No.6 pp. 1031-1039
doi: 10.20965/jaciii.2022.p1031


Option Pricing for Uncertain Stock Model Based on Optimistic Value

Liubao Deng*,**,†, Hongye Tan*, Fang Wei*, and Yilin Wang*

*School of Business, Guangzhou College of Technology and Business
No.5 Guangming Road, Haibu, Shiling Town, Huadu District, Guangzhou City, Guangdong 510850, China

**School of Finance, Anhui University of Finance and Economics
Bengbu 233030, China

Corresponding author

May 19, 2022
July 25, 2022
November 20, 2022
option pricing, optimistic value, uncertainty

Option pricing plays an important role in modern finance. This paper investigates the uncertain option pricing problems based on uncertainty theory by using the method to calculate the optimistic value of uncertain returns of options instead of the method of traditional expected value in the sense of the weighted average. The pricing formulas of the European and American options are derived for Liu’s uncertain stock model and Peng’s mean-reverting stock model which are two basic and representative uncertain stock models in uncertain finance. In the end, some numerical experiments are given to illustrate the effectiveness of the obtained results.

Cite this article as:
L. Deng, H. Tan, F. Wei, and Y. Wang, “Option Pricing for Uncertain Stock Model Based on Optimistic Value,” J. Adv. Comput. Intell. Intell. Inform., Vol.26 No.6, pp. 1031-1039, 2022.
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Last updated on Jun. 03, 2024