Options pricing with time changed Lévy processes under imprecise information
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Publication:1794512
DOI10.1007/s10700-014-9191-3zbMath1429.91319OpenAlexW2048270753MaRDI QIDQ1794512
I-Ming Jiang, Johnson T.-S. Cheng, Zhi-Yuan Feng, Yu-Hong Liu
Publication date: 15 October 2018
Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10700-014-9191-3
Processes with independent increments; Lévy processes (60G51) Theory of fuzzy sets, etc. (03E72) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
The total return swap pricing model under fuzzy random environments ⋮ Option implied moments obtained through fuzzy regression
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