Abstract
This paper presents an uncertain stock model with periodic dividends based on uncertainty theory. Some option pricing formulae related to the proposed model are investigated and several numerical examples are discussed to illustrate the related formula.
This is a preview of subscription content, log in via an institution to check access.
Similar content being viewed by others
Explore related subjects
Discover the latest articles, news and stories from top researchers in related subjects.References
Black F., Karasinski P. (1991) Bond and option pricing when short-term rates are lognormal. Financial Analysts Journal 47(4): 52–59
Black F., Scholes M. (1973) The pricing of option and corporate liabilities. Journal of Political Economy 81: 637–654
Chen, X., Gao, J. (2012). Uncertain term structure model of interest rate. Soft Computing doi:10.1007/s00500-012-0927-0.
Chen X., Liu B. (2010) Existence and uniqueness theorem for uncertain differential equations. Fuzzy Optimization and Decision Making 9(1): 69–81
Chen X. (2011) American option pricing formula for uncertain financial market. International Journal of Operations Research 8(2): 32–37
Liu B. (2007) Uncertainty theory.(2nd ed.). Springer, Berlin
Liu B. (2008) Fuzzy process, hybrid process and uncertain process. Journal of Uncertain Systems 2(1): 3–16
Liu B. (2009a) Some research problems in uncertainty theory. Journal of Uncertain Systems 3(1): 3–10
Liu B. (2009b) Theory and practice of uncertain programming. (2nd ed.). Springer, Berlin
Liu B. (2011) Uncertainty theory: A branch of mathematics for modeling human uncertainty. Springer, Berlin
Liu B. (2012a) Why is there a need for uncertainty theory?. Journal of Uncertain Systems 6(1): 3–10
Liu, B. (2012b). Extreme value theorems of uncertain process with application to insurance risk model. Soft Computing doi:10.1007/s00500-012-0930-5.
Liu, Y. H., Chen, X. (2012). Uncertain currency model and currency option pricing. http://orsc.edu.cn/online/091010.pdf.
Liu Y. H., Ha M. (2010) Expected value of function of uncertain variables. Journal of Uncertain Systems 4(3): 181–186
Merton R. (1973) Theory of rational option pricing. Bell Journal Economics & Management Science 4(1): 141–183
Peng J., Yao K. (2010) A new option pricing model for stocks in uncertainty markets. International Journal of Operations Research 7(4): 213–224
Wang X., Gao Z., Guo H. (2012) Uncertain hypothesis testing for two experts’ empirical data. Mathematical and Computer Modelling 55: 1478–1482
Yao K. (2012) Uncertain calculus with renewal process. Fuzzy Optimization and Decision Making 11(3): 285–297
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
About this article
Cite this article
Chen, X., Liu, Y. & Ralescu, D.A. Uncertain stock model with periodic dividends. Fuzzy Optim Decis Making 12, 111–123 (2013). https://doi.org/10.1007/s10700-012-9141-x
Published:
Issue Date:
DOI: https://doi.org/10.1007/s10700-012-9141-x