A discrete-time model of American put option in an uncertain environment.

DOI10.1016/S0377-2217(02)00591-XzbMath1112.91328OpenAlexW2055324899MaRDI QIDQ1406962

Yuji Yoshida

Publication date: 7 September 2003

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

Full work available at URL: https://doi.org/10.1016/s0377-2217(02)00591-x

zbMATH Keywords

optimal stoppingfuzzy expectationuncertainty modelingfuzzy stochastic processAmerican put optionvaluation of price

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Pricing currency option based on the extension principle and defuzzification via weighting parameter identification ⋮ Application of gray systems and fuzzy sets in combination with real options theory in project portfolio management ⋮ American option pricing with imprecise risk-neutral probabilities ⋮ Quasi-arithmetic means and ratios of an interval induced from weighted aggregation operations ⋮ Pricing a contingent claim with random interval or fuzzy random payoff in one-period setting ⋮ Pricing of minimum guarantees in life insurance contracts with fuzzy volatility ⋮ Continuous-time fuzzy decision processes with discounted rewards. ⋮ Aggregated Mean Ratios of an Interval Induced from Aggregation Operations ⋮ Collaboration in tool development and capacity investments in high technology manufacturing networks ⋮ A comparison of fuzzy regression methods for the estimation of the implied volatility smile function ⋮ Generalised soft binomial American real option pricing model (fuzzy-stochastic approach) ⋮ An estimation model of value-at-risk portfolio under uncertainty ⋮ Stackelberg game model of railway freight pricing based on option theory ⋮ Pricing and hedging in a single period market with random interval valued assets

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An optimal stopping problem in dynamic fuzzy systems with fuzzy rewards
• Mathematics of financial markets
• Markov-type fuzzy decision processes with a discounted reward on a closed interval
• A time-average fuzzy reward criterion in fuzzy decision processes
• The theory of fuzzy stochastic processes
• A limit theorem in some dynamic fuzzy systems
• Optimal stopping problems in a stochastic and fuzzy system
• Option pricing: A simplified approach
• Fuzzy sets
• Decision-Making in a Fuzzy Environment
• Fuzzy random variables