A New Stock Model for Option Pricing in Uncertain Environment

The option-pricing problem is always an important part in modern finance. Assuming that the stock diffusion is a constant, some literature has introduced many stock models and given corresponding option pricing formulas within the framework of the uncertainty theory. In this paper, we propose a new stock model with uncertain stock diffusion for uncertain markets. Some option pricing formulas on the proposed uncertain stock model are derived and a numerical calculation is illustrated.

Keywords:

Uncertainty theory , Uncertain process , Stock model , Option pricing