Fuzziness in valuing financial instruments by certainty equivalents.

DOI10.1016/S0377-2217(01)00041-8zbMath1051.91018MaRDI QIDQ5952436

Maria Rosaria Simonelli

Publication date: 2001

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

Fuzzy setsUtility theoryPricingUncertainty modelling

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (10)

Value at risk methodology under soft conditions approach (fuzzy-stochastic approach) ⋮ 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 ⋮ A discrete-time American put option model with fuzziness of stock prices ⋮ Fuzzy logic in insurance ⋮ A study of Greek letters of currency option under uncertainty environments ⋮ Generalised soft binomial American real option pricing model (fuzzy-stochastic approach) ⋮ A jump-diffusion model for option pricing under fuzzy environments

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Towards a general setting for the fuzzy mathematics of finance
• Equations with fuzzy numbers
• Fuzzy sets and systems. Theory and applications
• The fuzzy mathematics of finance
• Coherent Measures of Risk
• Risk Aversion in the Small and in the Large
• Fuzzy sets
• Soft computing in financial engineering

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