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Option Pricing Formula for Stock Model

Zhigang Wang, Yigui Ou, Baiguang Cai


This paper presents a general stock model and its option pricing formula for fuzzy financial markets based on geometric Liu process. Firstly, some basic definitions of fuzzy process and fuzzy differential equation are reviewed. Four types of fuzzy stock models for fuzzy financial markets are given. Secondly, a general stock model for fuzzy markets is formulated by the way of fuzzy differential equation. American call and put option price formulas for the generalized stock model are investigated.


Fuzzy differential equation, fuzzy stock model, American option price formula.

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