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scientific article; zbMATH DE number 1944100
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scientific article; zbMATH DE number 1944100 |
Statements
2002
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fuzzy stochastic process
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fuzzy price
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dynamic programming
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0.8709129691123962
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0.8323174715042114
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0.8207811117172241
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0.8165954947471619
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0.8031846880912781
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This paper studies the pricing of an American put option on a stock whose price is governed by a fuzzy stochastic process. By dynamic programming, it is shown that the optimal fuzzy price is a solution of an optimality equation under a reasonable assumption. A numerical example is given. For the entire collection see [Zbl 0990.00073].
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