Fuzzy pricing of European options based on Liu process

Abstract

Many studies have found that in addition to randomness, financial markets also have ambiguity. In order to better address this issue, this article introduces fuzziness into option pricing models and conducts in-depth research on existing fuzzy stock models.
Firstly, based on the generalized stock model of the standard Liu process, the corresponding option pricing formula was derived. Then,
this article studied the generalized multi factor pricing model and derived the corresponding European option pricing formula. In order to make the research results more specific, this article provides specific examples of European options and corresponding chart analysis
This research achievement not only enriches the theory of option pricing, but also provides new methods and basis for option pricing in actual financial markets.