Fuzzy options with application to default risk analysis for municipal bonds in China

DOI10.1016/j.na.2005.02.019zbMath1224.91155OpenAlexW1966700237MaRDI QIDQ1000050

Liyan Han, Chengli Zheng

Publication date: 4 February 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2005.02.019

zbMATH Keywords

default riskfuzzy optionsmunicipal bondsnon-identical rationalities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Extensions and distortions of \(\lambda\)-fuzzy measures

Cites Work

• Heterogeneity and option pricing
• Divergent rational expectations equilibrium in a dynamic model of a futures market
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Intertemporal asset pricing with heterogeneous beliefs
• Endogenous economic fluctuations. Studies in the theory of rational beliefs
• A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
• ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
• A Rational Route to Randomness
• Fuzzy measures and asset prices: accounting for information ambiguity
• Liquidity and credit risk
• Asset price and wealth dynamics under heterogeneous expectations

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