European option pricing under fuzzy environments
From MaRDI portal
Publication:4651553
DOI10.1002/int.20055zbMath1079.91045OpenAlexW4240177361MaRDI QIDQ4651553
Publication date: 22 February 2005
Published in: International Journal of Intelligent Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/int.20055
Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (18)
Pricing currency option based on the extension principle and defuzzification via weighting parameter identification ⋮ The total return swap pricing model under fuzzy random environments ⋮ Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options ⋮ The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options ⋮ A reduced-form intensity-based model under fuzzy environments ⋮ PRICING STOCK OPTIONS USING BLACK-SCHOLES AND FUZZY SETS ⋮ Interval pricing study of deposit insurance in China ⋮ Measuring interest rate risk with embedded option using HPL-MC method in fuzzy and stochastic environment ⋮ Application of possibility theory to investment decisions ⋮ A new default probability calculation formula and its application under uncertain environments ⋮ Fuzzy pricing of American options on stocks with known dividends and its algorithm ⋮ A European option pricing model in a stochastic and fuzzy environment ⋮ A study of Greek letters of currency option under uncertainty environments ⋮ Generalised soft binomial American real option pricing model (fuzzy-stochastic approach) ⋮ No-arbitrage theorem for multi-factor uncertain stock model with floating interest rate ⋮ A jump-diffusion model for option pricing under fuzzy environments ⋮ Option pricing and the Greeks under Gaussian fuzzy environments ⋮ European barrier option pricing formulas of uncertain currency model
Cites Work
This page was built for publication: European option pricing under fuzzy environments
