A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework

DOI10.1016/j.cam.2016.04.021zbMath1337.91114OpenAlexW2343910167MaRDI QIDQ289315

Xiandong Wang, Jian-min He

Publication date: 30 May 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.04.021

zbMATH Keywords

Lévy processfuzzy expectation\(n\)-fold compound optionsEsscher transformed martingale measurefuzzy stochastic process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

N-Fold compound option pricing with technical risk under fractional jump-diffusion model ⋮ A simple method for generalized sequential compound options pricing ⋮ Sensitivity of option prices via fuzzy Malliavin calculus ⋮ An approximate approach to fuzzy stochastic differential equations under sub-fractional Brownian motion ⋮ Pricing European options under uncertainty with application of Lévy processes and the minimal \(L^q\) equivalent martingale measure

Uses Software

• t.f

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