文献类型：期刊文献

英文题名：Pricing problem and sensitivity analysis of knock-in external barrier options based on uncertain stock model

作者：Gao, Yin[1];Tian, Miao[2]

机构：[1]Beijing Forestry Univ, Coll Sci, Beijing 100083, Peoples R China;[2]East China Univ Sci & Technol, Sch Math, Shanghai 200237, Peoples R China

年份：2024

卷号：187

外文期刊名：CHAOS SOLITONS & FRACTALS

收录：;EI(收录号：20243216838840);WOS:【SCI-EXPANDED(收录号:WOS:001291079600001)】；

基金：Acknowledgmentthis work was supported by the Science and Technology InnovationProject of Beijing Forestry University (BLX202244) .

语种：英文

外文关键词：Knock-in external barrier option; Uncertain stock model; Liu process; Uncertain theory

摘要：Knock-in external barrier options as a special kind of barrier options are popular in the option exchange markets, which contain two assets, one decides the payoffs, and the other decides whether the options can be exercised. In this paper, the normal pricing formulas of knock-in external barrier options based on uncertain stock model including down-in call options and up-in put options are derived by means of the fairness principle. To determine how parameters affect the normal price, sensitivity analysis for the normal pricing formulas of down-in call options and up-in put options are presented. Assume that the price of assets are modeled by Liu's stock model, the explicit pricing formulas for down-in call options and up-in put options are obtained successfully. Meanwhile, the sensitivity analysis for the explicit price of down-in call options and up-in put options are investigated. Moreover, the numerical algorithms and numerical examples for the above explicit pricing formulas of down-in call options and up-in put options are discussed in this paper.