A fuzzy approach to option pricing in a Levy process setting

DOI10.2478/AMCS-2013-0046zbMath1280.91174OpenAlexW2076512801MaRDI QIDQ5396437

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Publication date: 6 February 2014

Published in: International Journal of Applied Mathematics and Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2478/amcs-2013-0046

zbMATH Keywords

fuzzy setsLévy processesoption pricingMonte Carlo simulationminimal entropy martingale measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Theory of fuzzy sets, etc. (03E72) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic systems in control theory (general) (93E03)

Related Items (9)

Fractional Lévy stable motion: finite difference iterative forecasting model ⋮ A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework ⋮ Valuing catastrophe bonds involving correlation and CIR interest rate model ⋮ The total return swap pricing model under fuzzy random environments ⋮ Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making ⋮ Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework ⋮ Interval-based, nonparametric approach for resampling of fuzzy numbers ⋮ Pricing European options under uncertainty with application of Lévy processes and the minimal \(L^q\) equivalent martingale measure ⋮ Computing the Stackelberg/Nash equilibria using the extraproximal method: convergence analysis and implementation details for Markov chains games

Cites Work

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