不确定性、投资者犹豫程度与永久美式期权定价

近年来金融市场黑天鹅事件频发，加剧了投资者行为的状态依赖性和不确定性.本文利用三角直觉模糊数来衡量投资决策行为的不确定性和犹豫程度，建立了模糊随机过程下支付连续红利的永久美式期权定价模型，得到了风险中性概率测度下的美式期权区间价格.然后，基于本文理论模型模拟了标的资产的模糊价格，并进行了模型的比较静态分析.研究发现：基于三角直觉模糊数的永久美式期权区间价格较好地衡量了投资者犹豫程度，对投资决策具有现实指导意义.

Uncertainty,hesitancy degree of investors and pricing perpetual American options

In recent years financial markets attacked frequently by black swans events, which aggravated investor behaviors' state dependence and uncertainty. Using triangular intuitionistic fuzzy numbers to measure the uncertainty and hesitancy degree of investors' decision-making behavior, this paper initially establishes the interval pricing model of perpetual American options with continuous dividends under fuzzy stochastic process. The option price range under risk-neutral probability measure is obtained. In addition, we simulate the underlying asset fuzzy price based on the theoretical model and carry out the comparative static analysis of the model. The results show that the interval price of perpetual American option based on triangular intuitionistic fuzzy number can better measure the option fuzzy price with investors' hesitancy, which has more realistic guiding significance for investment decision.