European option pricing under fuzzy CEV model

DOI10.1007/S10957-022-02108-WMaRDI QIDQ2696948zbMATH OpenOpenAlexFDO

Authors Xinyue Wei, Cuilian You, Yujie Zhang

Publication date 17 April 2023

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10957-022-02108-w

zbMATH Keywords

constant elasticity of variancecredibility measurefuzzy differential equationLiu processoption pricing

Mathematics Subject Classification ID

Calculus of variations and optimal control; optimization (49-XX) Mathematical programming (90Cxx)

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Cites work

• A European option pricing model in a stochastic and fuzzy environment
• An efficient numerical method for pricing American put options under the CEV model
• Computing the CEV option pricing formula using the semiclassical approximation of path integral
• Fractional Liu process with application to finance
• Fuzzy Euler approximation and its local convergence
• Fuzzy sets
• Fuzzy sets as a basis for a theory of possibility
• Least-squares Monte-Carlo methods for optimal stopping investment under CEV models
• Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
• Option pricing formulas for generalized fuzzy stock model
• The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options
• The pricing of options and corporate liabilities
• Uncertainty theory
• Uncertainty theory. An introduction to its axiomatic foundations.
• Valuing American-style options under the CEV model: an integral representation based method

Cited in

(9)

• Binary option pricing using fuzzy numbers
• Pricing of European call option under fuzzy interest rate
• Efficient option pricing in crisis based on dynamic elasticity of variance model
• Option pricing formulas for generalized fuzzy stock model
• Option pricing formula for stock model
• Fuzzy Binary Tree Model for European Options
• Option pricing with fuzzy-TGARCH volatility clustering
• Enhancing accuracy for solving American CEV model with high-order compact scheme and adaptive time stepping
• The \(CEV\) model and its application to financial markets with volatility uncertainty

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