A reduced-form intensity-based model under fuzzy environments

DOI10.1016/J.CNSNS.2014.07.021MaRDI QIDQ907676zbMATH OpenOpenAlexFDO

Authors Liang Wu, Ya-Ming Zhuang

Publication date 26 January 2016

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2014.07.021

zbMATH Keywords

derivative pricingintensity-based modelfuzzy environments

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 3946050 (Why is no real title available?)
• A jump-diffusion model for option pricing under fuzzy environments
• A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty
• Affine processes and applications in finance
• Beyond hazard rates: a new framework for credit-risk modelling
• Bond pricing under imprecise information
• European option pricing under fuzzy environments
• Fuzziness in valuing financial instruments by certainty equivalents.
• Fuzzy defaultable bonds
• Fuzzy random variables
• Fuzzy sets
• On Cox processes and credit risky securities
• Pricing European options based on the fuzzy pattern of Black-Scholes formula.
• The valuation of European options in uncertain environment
• Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options

Cited in

(7)

• A new default probability calculation formula and its application under uncertain environments
• The total return swap pricing model under fuzzy random environments
• Fuzzy defaultable bonds
• A default risk model in a fuzzy framework
• Credit derivatives pricing model for fuzzy financial market
• Liquidity and credit risk
• Introducing fuzziness in CDS pricing under a structural model

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