Option valuation model with adaptive fuzzy numbers

DOI10.1016/j.camwa.2007.01.011zbMath1213.91145OpenAlexW2083668402MaRDI QIDQ2459625

Kulathava Ranee Thiagarajah, S. S. Appadoo, A. Thavaneswaran

Publication date: 7 November 2007

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2007.01.011

zbMATH Keywords

possibilistic meanpossibilistic varianceBlack-Scholes option pricing formulafuzzy volatilityAdaptive fuzzy number

Mathematics Subject Classification ID

Theory of fuzzy sets, etc. (03E72) Portfolio theory (91G10)

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