2022
DOI: 10.1051/ro/2022195
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Pricing rainbow option for uncertain financial market

Abstract: Rainbow option refers to the option whose payoff depends on at least two underlying risky assets, which is justifiably one of the most significant tool to hedge risk brought by the uncertainty from financial market. Hence, option pricing problem is always an issue with great attention. In this paper, we assume that the multiple dynamic stock prices obey uncertain differential equations without sharing dividends in the framework of uncertainty theory. Then we discuss the rainbow option pricing problem for multi… Show more

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Cited by 2 publications
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