A jump-diffusion model for option pricing under fuzzy environments

DOI10.1016/j.insmatheco.2008.09.003zbMath1162.91388OpenAlexW2023410638MaRDI QIDQ1023093

Chongfeng Wu, Weidong Xu, Hongyi Li, Wei-jun Xu

Publication date: 10 June 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.09.003

zbMATH Keywords

fuzzy numbersfuzzy random variableEuropean option pricingfuzzy jump-diffusion model

Mathematics Subject Classification ID

Theory of fuzzy sets, etc. (03E72) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (12)

A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework ⋮ Pricing currency option based on the extension principle and defuzzification via weighting parameter identification ⋮ The total return swap pricing model under fuzzy random environments ⋮ A robust numerical solution to a time-fractional Black-Scholes equation ⋮ A reduced-form intensity-based model under fuzzy environments ⋮ A new default probability calculation formula and its application under uncertain environments ⋮ A European option pricing model in a stochastic and fuzzy environment ⋮ A study of Greek letters of currency option under uncertainty environments ⋮ Options pricing with time changed Lévy processes under imprecise information ⋮ Option replication with transaction cost under Knightian uncertainty ⋮ Option pricing and the Greeks under Gaussian fuzzy environments ⋮ Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions

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