European options risks by uncertainty theory
* Baoding Liu initiated 'Uncertain Finance' in 2013, and it takes into account expert belief degrees to assess financial instruments (among them, financial derivatives) * This dataset is linked to the working paper: 'Uncertainty and stochastic theories on European options valuation and their delta and vega risks' (details to be announced soon) * This dataset contains: Experimental data and Matlab codes to compare European option prices and risks - delta and vega - under uncertainty and stochastic frameworks. * uncertainty framework: Liu stock model (2009); stochastic framework: Black Scholes Merton model (1973) * Go to 'Readme.txt' for detailed contents (extension files included: txt, mat, m, xlsx, eps) * Dataset author information: created on Jan 1 2022 Carlos Alexander Grajales Universidad de Antioquia, Medellín, Colombia <email@example.com> * this information is also available on GitHub (linked below)
Steps to reproduce
Data and computational codes are described on the file 'Readme.txt'.