Fuzzy measures and asset prices: accounting for information ambiguity

DOI10.1080/135048697334773zbMath1009.91006OpenAlexW2051318005MaRDI QIDQ4541543

Umberto Cherubini

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048697334773

zbMATH Keywords

utilityuncertainty\(g_\lambda\)-measurescorporate debt contract

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (16)

Option implied ambiguity and its information content: evidence from the subprime crisis ⋮ Implied trees in illiquid markets: A Choquet pricing approach ⋮ Liquidity and credit risk ⋮ On theoretical pricing of options with fuzzy estimators ⋮ Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing ⋮ Modeling attitude to risk in human decision processes: an application of fuzzy measures ⋮ Sensitivity of option prices via fuzzy Malliavin calculus ⋮ Option pricing generators ⋮ Option valuation model with adaptive fuzzy numbers ⋮ A multiperiod binomial model for pricing options in a vague world ⋮ A vague multidimensional dependency structure: conditional versus unconditional fuzzy copula models ⋮ The pricing of options on an interval binomial tree. An application to the DAX-index option market ⋮ Fuzzy options with application to default risk analysis for municipal bonds in China ⋮ Choquet-based European option pricing with stochastic (and fixed) strikes ⋮ Extensions and distortions of \(\lambda\)-fuzzy measures ⋮ Fuzzy defaultable bonds

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