Uncertain stock model with periodic dividends

Authors:
Xiaowei Chen;Yuhan Liu;Dan A. Ralescu
Affiliations:
Department of Risk Management and Insurance, Nankai University, Tianjin, China 30071;Department of Industrial Engineering, Tsinghua University, Beijing, China 100084;Department of Mathematical Sciences, University of Cincinnati, Cincinnati, USA 45221-0025
Venue:
Fuzzy Optimization and Decision Making
Year:
2013

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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.