A New Option Pricing Model for Stocks in Uncertainty Markets

This paper presents a type of stock models for uncertain markets by using uncertainty theory. Firstly, a brief history of stock models and some methodologies are reviewed. Next, some useful concepts and properties about uncertain process are recalled. Then, a stock model for uncertain markets is formulated by the tool of uncertain differential equation. Some option pricing formulas on the proposed uncertain stock model are investigated and some numerical calculations are illustrated. Finally, some remarks are made in the concluding section. KeywordsUncertainty theory, uncertain process, finance, stock model, option price.