Soft Computing

, Volume 22, Issue 17, pp 5583–5592 | Cite as

Asian option pricing problems of uncertain mean-reverting stock model

  • Yiyao Sun
  • Kai Yao
  • Jichang DongEmail author


An Asian option is a special type of option contract which reduces the volatility inherent in the option because of the averaging feature, so it is one of the most actively exotic options traded in today’s financial derivative market. As an application of the uncertain process in the field of finance, the uncertain finance assumes that the asset price follows an uncertain differential equation. In this paper, Asian options are proposed in the uncertain financial market based on a mean-reverting stock model and their pricing formulas are derived. In addition, some numerical algorithms are designed to compute the prices of the Asian options on the basis of the pricing formulas.


Uncertainty theory Uncertain differential equation Stock model Asian option 



This study was funded by the National Natural Science Foundation of China (Grant Nos. 61403360, 71532013 and 71573244) and the Open Project of Key Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences.

Compliance with ethical standards

Conflict of interest

The authors declare that they have no conflict of interest.

Ethical approval

This article does not contain any studies with human participants performed by any of the authors.


This work was carried out in collaboration between all authors. All authors read and approved the final manuscript.


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Copyright information

© Springer-Verlag Berlin Heidelberg 2017

Authors and Affiliations

  1. 1.School of Economics and ManagementUniversity of Chinese Academy of SciencesBeijingChina
  2. 2.Key Laboratory of Big Data Mining and Knowledge ManagementChinese Academy of SciencesBeijingChina

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