Pricing forward-start style exotic options under uncertain stock models with periodic dividends

Pricing forward-start style exotic options under uncertain stock models with periodic dividends

In this study, we derived pricing formulas for various forward-start style exotic options based on an uncertain stock models with periodic dividends. Specifically, we present valuations for forward-start, Cliquet/Ratchet, and spread options. In addition, we conducted numerical simulations of these f...

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Veröffentlicht in:AIMS mathematics 2024-01, Vol.9 (9), p.24934-24954
Hauptverfasser: Hussain, Javed, Shahid, Saba, Saeed, Tareq
Format: Artikel
Sprache:eng
Schlagworte:
canonical process
finance
option pricing
uncertain calculus
uncertain measure
uncertain variable
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Zusammenfassung:In this study, we derived pricing formulas for various forward-start style exotic options based on an uncertain stock models with periodic dividends. Specifically, we present valuations for forward-start, Cliquet/Ratchet, and spread options. In addition, we conducted numerical simulations of these formulas and compared them to pricing formulas for the same options based on a dividend-paying stock model driven by standard Brownian motion.
ISSN:2473-6988
2473-6988
DOI:10.3934/math.20241215