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A fuzzy approach to option pricing in a Levy process setting - MaRDI portal

A fuzzy approach to option pricing in a Levy process setting (Q5396437)

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scientific article; zbMATH DE number 6255996
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English
A fuzzy approach to option pricing in a Levy process setting
scientific article; zbMATH DE number 6255996

    Statements

    title
    A fuzzy approach to option pricing in a Levy process setting (English)
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    publication date
    6 February 2014
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    zbMATH Keywords
    option pricing
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    Lévy processes
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    minimal entropy martingale measure
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    fuzzy sets
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    Monte Carlo simulation
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    93E03
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    60G51
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    03E72
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    zbMATH DE Number
    6255996
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    OpenAlex ID
    W2076512801
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