The European Option Pricing Model Based on the Weighted Fractional Brownian Motion in a Fuzzy Environment
In order to describe the long-term memory characteristics presented by the prices of financial assets,the weighted fractional Brownian motion is adopted to depict the dynamic change process of the prices of risky assets.Considering the uncertainty of the financial market,which features both randomness and fuzziness,the stochastic analysis theory and the fuzzy set theory are used to construct the European option pricing model driven by the weighted fractional Brownian motion in an uncertain environment,and the pricing formulas for European call options and European put options are derived.
European optionweighted fractional Brownian motionrandom fuzzy variableoption pricing