Pricing of shout option in uncertain financial market

IF 4.8 2区 计算机科学 Q1 COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE
Haoxuan Li, Xiangfeng Yang, Yaodong Ni
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Abstract

The shout option allows the investors to make "shouts" to the seller throughout the option’s duration. The investors’ payoff is higher between the intrinsic value at shout time and the intrinsic value at the maturity time. Previous shout option pricing is in the framework of probability theory. However, some unexpected events in real life can make the frequency deviate from the estimated distribution function, in which case we should use the uncertainty theory. This study investigates shout option pricing problems under uncertainty theory. It also derives pricing formulas for shout-call and shout-put options. Additionally, we design a numerical algorithm to compute the price of the shout options. Finally, this study applies the concept of the shout option to Microsoft’s stock data and examines the relationship between the option price and crucial parameters.

Abstract Image

在不确定的金融市场上为喊价期权定价
喊价期权允许投资者在整个期权有效期内向卖方 "喊价"。投资者的回报在喊价时的内在价值和到期时的内在价值之间较高。以往的喊价期权定价是在概率论的框架下进行的。然而,现实生活中的一些突发事件会使频率偏离估计的分布函数,在这种情况下,我们应该使用不确定性理论。本研究探讨了不确定性理论下的喊价期权定价问题。它还推导出了喊价看涨期权和喊价看跌期权的定价公式。此外,我们还设计了一种数值算法来计算喊价期权的价格。最后,本研究将喊价期权的概念应用于微软的股票数据,并研究了期权价格与关键参数之间的关系。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Fuzzy Optimization and Decision Making
Fuzzy Optimization and Decision Making 工程技术-计算机:人工智能
CiteScore
11.50
自引率
10.60%
发文量
27
审稿时长
6 months
期刊介绍: The key objective of Fuzzy Optimization and Decision Making is to promote research and the development of fuzzy technology and soft-computing methodologies to enhance our ability to address complicated optimization and decision making problems involving non-probabilitic uncertainty. The journal will cover all aspects of employing fuzzy technologies to see optimal solutions and assist in making the best possible decisions. It will provide a global forum for advancing the state-of-the-art theory and practice of fuzzy optimization and decision making in the presence of uncertainty. Any theoretical, empirical, and experimental work related to fuzzy modeling and associated mathematics, solution methods, and systems is welcome. The goal is to help foster the understanding, development, and practice of fuzzy technologies for solving economic, engineering, management, and societal problems. The journal will provide a forum for authors and readers in the fields of business, economics, engineering, mathematics, management science, operations research, and systems.
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