European options risks by uncertainty theory

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

* 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 <alexander.grajales@udea.edu.co> * this information is also available on GitHub (linked below)

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Steps to reproduce

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

Institutions

Universidad de Antioquia

Categories

Data Mining, Financial Risk, Derivative Pricing, Uncertainty Theory

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