A Binomial Tree Approach to Pricing Vulnerable Option in a Vague World

DOI10.1142/S0218488518500083zbMath1470.91293OpenAlexW2787677685MaRDI QIDQ4957401

Guifang Liu, Xiaojian Yu, Wei-jun Xu

Publication date: 8 September 2021

Published in: International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218488518500083

zbMATH Keywords

fuzzy setscredit riskpricingbinomial tree modelvulnerable options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates ⋮ Option pricing and the Greeks under Gaussian fuzzy environments

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