A jump-diffusion model for option pricing under fuzzy environments

DOI10.1016/J.INSMATHECO.2008.09.003MaRDI QIDQ1023093zbMATH OpenOpenAlexFDO

Authors Weidong Xu, Chong Feng Wu, Hongyi Li, Weijun Xu

Publication date 10 June 2009

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2008.09.003

zbMATH Keywords

European option pricingfuzzy jump-diffusion modelfuzzy numbersfuzzy random variable

Mathematics Subject Classification ID

Theory of fuzzy sets, etc. (03E72) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cited in

(23)

• A new default probability calculation formula and its application under uncertain environments
• Options pricing with time changed Lévy processes under imprecise information
• Option replication with transaction cost under Knightian uncertainty
• A robust numerical solution to a time-fractional Black-Scholes equation
• A European option pricing model in a stochastic and fuzzy environment
• Pricing currency option based on the extension principle and defuzzification via weighting parameter identification
• The total return swap pricing model under fuzzy random environments
• On an implicit assessment of fuzzy volatility in the Black and Scholes environment
• A geometric Lévy model for n-fold compound option pricing in a fuzzy framework
• A fuzzy pricing formula for European options with jumps and transaction costs
• Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions
• Valuation of forward contract price in energy markets described by a fuzzy-stochastic model and mathematical algorithms: a case study of the PJM western hub real-time peak market
• Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with w sources of risk in fuzzy environment
• A robust numerical simulation of a fractional Black-Scholes equation for pricing American options
• A fuzzy jump-diffusion option pricing model based on the Merton formula
• Fuzzy Esscher changes of measure and copula invariance in Lévy markets
• Tikhonov regularization for simultaneous inversion of initial value and source term of a time-fractional Black-Scholes equation
• Pricing European option under the generalized fractional jump-diffusion model
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• Perpetual American options in a jump-diffusion model with random inspection
• Option pricing and the Greeks under Gaussian fuzzy environments
• A reduced-form intensity-based model under fuzzy environments
• A study of Greek letters of currency option under uncertainty environments

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