چکیده مقاله
As respect that stochastic differential equations can’t cover the uncertainty in financial markets, in this paper, the pricing formulas for European options are obtained under the assumptions that underlying asset prices follows uncertain differential equation and the uncertain interest rate is floating We have introduced an uncertain renewal process based on uncertain Liu theory, which interarrival times are uncertain variables in the frame of a geometric Liu process and renewal uncertain process with floating uncertain interest rate; and is proved that this model can be used to computing the prices of European options call and put on stocks in uncertain environment
کلیدواژهها
نویسندگان
BEHZAD ABBASI
Department of Mathematics, Faculty of Mathematics, Statistics and Computer Sciences, Semnan University, P O Box ۳۵۱۹۵ ۳۶۳, Semnan, Iran
KAZEM NOURI
Department of Mathematics, Faculty of Mathematics, Statistics and Computer Sciences, Semnan University, P O Box ۳۵۱۹۵ ۳۶۳, Semnan, Iran
FARAHNAZ OMIDI
Department of Mathematics, Faculty of Mathematics, Statistics and Computer Sciences, Semnan University, P O Box ۳۵۱۹۵ ۳۶۳, Semnan, Iran
LEILA TORKZADEH
Department of Mathematics, Faculty of Mathematics, Statistics and Computer Sciences, Semnan University, P O Box ۳۵۱۹۵ ۳۶۳, Semnan, Iran
شیوه ارجاع
ABBASI, BEHZAD and NOURI, KAZEM and OMIDI, FARAHNAZ and TORKZADEH, LEILA,1402,OPTION PRICING WITH FLOATING INTEREST RATE IN UNCERTAIN ENVIRONMENT,The second international conference on management, commerce, economics and accounting
ارائهشده در
مجموعه مقالات دومین کنفرانس بین المللی مدیریت، بازرگانی، اقتصاد و حسابداری28 مهر 1402