A fuzzy jump-diffusion option pricing model based on the Merton formula
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
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- Fuzzy sets
- scientific article; zbMATH DE number 2015370 (Why is no real title available?)
- Jump-diffusion models with constant parameters for financial log-return processes
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- Similarity relations and fuzzy orderings
- Stochastic integral
- The pricing of options and corporate liabilities
- The valuation of European options in uncertain environment
- Unifying pricing formula for several stochastic volatility models with jumps
- Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options
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