Option price sensitivities through fuzzy numbers

DOI10.1016/J.CAMWA.2010.11.024zbMath1217.91219OpenAlexW2060076929MaRDI QIDQ552168

Maria Letizia Guerra, Luciano Stefanini, Laerte Sorini

Publication date: 21 July 2011

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

Full work available at URL: https://doi.org/10.1016/j.camwa.2010.11.024

zbMATH Keywords

sensitivity analysisoption pricingfuzzy numbersparameterization

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Financial applications of other theories (91G80)

Related Items (9)

Interval and fuzzy average internal rate of return for investment appraisal ⋮ Pricing currency option based on the extension principle and defuzzification via weighting parameter identification ⋮ On some characterizations of preinvex fuzzy mappings ⋮ Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework ⋮ A fuzzy approach for R\&D compound option valuation ⋮ Different optimum notions for fuzzy functions and optimality conditions associated ⋮ Option pricing and the Greeks under Gaussian fuzzy environments ⋮ On characterizations of directional derivatives and subdifferentials of fuzzy functions ⋮ Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions

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• Application of the fuzzy-stochastic methodolgy to appraising the firm value as a European call option

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