Fuzzy Binary Tree Model for European Options

DOI10.1007/3-540-28073-1_69MaRDI QIDQ3618343zbMATH OpenOpenAlexFDO

Authors Huguette Reynaerts, Silvia Muzzioli

Publication date 31 March 2009

Published in Progress in Industrial Mathematics at ECMI 2004 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/3-540-28073-1_69

zbMATH Keywords

binary treedual fuzzy linear systemsvanilla option

Mathematics Subject Classification ID

Fuzzy matrices (15B15) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cited in

(2)

• The parabolic-type fuzzy binomial tree model with European option pricing
• The solution of fuzzy linear systems by nonlinear programming: a financial application

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