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20-04-2020 | Foundations

European option pricing under multifactor uncertain volatility model

Authors: Sabahat Hassanzadeh, Farshid Mehrdoust

Published in: Soft Computing | Issue 12/2020

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Abstract

This paper presents an uncertain stock model under the multifactor uncertain volatility framework. Based on the uncertainty theory, some closed-form and analytical formulas presented to value a European call and put option under the multifactor uncertain volatility model. Numerical tests are reported to highlight how the proposed model provides interesting results on pricing a European option. Finally, we summarize the theoretical results and some numerical experiments.

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Title: European option pricing under multifactor uncertain volatility model
Authors: Sabahat Hassanzadeh
Farshid Mehrdoust
Publication date: 20-04-2020
Publisher: Springer Berlin Heidelberg
Published in: Soft Computing / Issue 12/2020
Print ISSN: 1432-7643
Electronic ISSN: 1433-7479
DOI: https://doi.org/10.1007/s00500-020-04919-3

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