资产或无值看涨期权的模糊定价

Fuzzy Pricing on AONC Option

资产或无值看涨期权(asset or nothing call,AONC)是欧式期权的一种推广,由于股票价格随着市场的波动,很难得到精确的期权价格。首先推导出确定情形下AONC期权,并将股票价格和波动率模糊化,得到AONC期权的模糊定价模型,最后结合算例得到在给定置信度下期权的价格区间和最大置信度下AONC期权价格。

Asset or nothing call(AONC) option is a kind of European option promotion.It deduces AONC option price on determining circumstances.It is difficult to get accurate option price as the stock market moving,so it makes the stock price and the volatility fuzzy,and gets the fuzzy AONC option pricing model.In combination with the calculation example,the intervals of the option price for a given belief degree,and the AONC option price with the maximum confidence are obtained.