Computing option price for Lévy process with fuzzy parameters

DOI10.1016/J.EJOR.2009.02.009zbMath1177.91132OpenAlexW2017545778MaRDI QIDQ1044156

J. Blot

Publication date: 10 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.02.009

zbMATH Keywords

fuzzy setssimulationstochastic processesfinance

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Fuzzy sets and systems. Theory and applications
• Pricing European options based on the fuzzy pattern of Black-Scholes formula.
• Fuzzy statistics: regression and prediction
• Fuzzy sets
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