Pricing of European call option under fuzzy interest rate

DOI10.3934/jimo.2022033OpenAlexW4226396193MaRDI QIDQ2097490

Cuilian You, Le Bo

Publication date: 14 November 2022

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2022033

zbMATH Keywords

option pricingfuzzy differential equationLiu process

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Fuzzy partial differential equations (35R13)

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Black-Scholes formula in subdiffusive regime
• Fractional Liu process with application to finance
• Option pricing under the Merton model of the short rate
• Fuzzy sets as a basis for a theory of possibility
• Fuzzy Euler approximation and its local convergence
• Stability in mean for fuzzy differential equation
• Option pricing formulas for generalized fuzzy stock model
• A Theory of the Term Structure of Interest Rates
• Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Fuzzy sets
• Uncertainty theory