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Research Article | Open Access

Pricing forward-start style exotic options under uncertain stock models with periodic dividends

Javed Hussain1, Saba Shahid1, Tareq Saeed2( )
Department of Mathematics, Sukkur-IBA University, Sukkur 65200, Pakistan
Financial Mathematics and Actuarial Science (FMAS)-Research Group, Department of Mathematics, Faculty of Science, King Abdulaziz University, P.O. Box 80203, Jeddah 21589, Saudi Arabia
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Abstract

In this study, we derived pricing formulas for various forward-start style exotic options based on an uncertain stock models with periodic dividends. Specifically, we present valuations for forward-start, Cliquet/Ratchet, and spread options. In addition, we conducted numerical simulations of these formulas and compared them to pricing formulas for the same options based on a dividend-paying stock model driven by standard Brownian motion.

Keywords

uncertain calculuscanonical processuncertain measurefinanceuncertain variableoption pricing
CLC number: 91G20, 97M30

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AIMS Mathematics
Volume 9 Issue 9,
September 2024
Pages 24934-24954
DOI: 10.3934/math.20241215

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Cite this article:
Hussain J, Shahid S, Saeed T. Pricing forward-start style exotic options under uncertain stock models with periodic dividends. AIMS Mathematics, 2024, 9(9): 24934-24954. https://doi.org/10.3934/math.20241215

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Received: 18 May 2024
Revised: 09 August 2024
Accepted: 19 August 2024
Published: 15 September 2024
©2024 the Author(s), licensee AIMS Press.

This is an open access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0)