European options risks by uncertainty theory

Published: 23 December 2021| Version 2 | DOI: 10.17632/vncvk4tvcz.2


* 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 <> * this information is also available on GitHub (linked below)


Steps to reproduce

Data and computational codes are described on the file 'Readme.txt'.


Universidad de Antioquia


Data Mining, Financial Risk, Derivative Pricing, Uncertainty Theory