Multi-asset Option Pricing in an Uncertain Financial Market with Jump Risk

*Correspondence: [email protected] 1School of Management, Hebei University, Baoding 071002, China 2School of Science, Hebei University of Engineering, Handan 056038, China Abstract Multi-asset options are created to accelerate investment among countries with the development of globalization and financial market integration. Considering the human uncertainty and the influence of sudden events such as wars and economic crisis, this paper proposes an uncertain model of multi-asset price with uncertain jumps. Option pricing formulas for the European-style dual-strike option, product option, and quotient option are derived.