Sensitivity of option prices via fuzzy Malliavin calculus (Q6058065)

scientific article; zbMATH DE number 7755965

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English	Sensitivity of option prices via fuzzy Malliavin calculus	scientific article; zbMATH DE number 7755965

Statements

instance of

scholarly article

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title

Sensitivity of option prices via fuzzy Malliavin calculus (English)

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published in

Fuzzy Sets and Systems

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publication date

27 October 2023

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zbMATH Keywords

Malliavin calculus

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fuzzy stochastic process

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fuzzy option pricing

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price sensitivity

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.fss.2021.11.005

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cites work

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Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes

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Generalizations of the differentiability of fuzzy-number-valued functions with applications to fuzzy differential equations

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Generalized differentiability of fuzzy-valued functions

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Smart Monte Carlo: various tricks using Malliavin calculus

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The Pricing of Options and Corporate Liabilities

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Fuzzy measures and asset prices: accounting for information ambiguity

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Malliavin Monte Carlo Greeks for jump diffusions

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Computations of Greeks in a market with jumps via the Malliavin calculus

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A new technique for calibrating stochastic volatility models: the Malliavin gradient method

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Applications of Malliavin calculus to Monte Carlo methods in finance

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Applications of Malliavin calculus to Monte-Carlo methods in finance. II

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A note on the generalized difference and the generalized differentiability

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Integrals, conditional expectations, and martingales of multivalued functions

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Fuzzy differential equations

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Measurability for fuzzy valued functions

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Pricing of geometric Asian options under Heston's stochastic volatility model

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Q4650359

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Strong solutions to stochastic fuzzy differential equations of Itô type

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Some properties of strong solutions to stochastic fuzzy differential equations

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Option pricing when underlying stock returns are discontinuous

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Discrete Malliavin calculus and computations of Greeks in the binomial tree

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Computing option price for Lévy process with fuzzy parameters

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The Malliavin Calculus and Related Topics

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Differentials of fuzzy functions

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Fuzzy random variables

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Soft methods for handling variability and imprecision. Selected papers based on the presentations at the 4th international conference on soft methods in probability and statistics (SMPS'2008), Toulouse, France, September 8--10, 2008.

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A generalization of Hukuhara difference and division for interval and fuzzy arithmetic

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A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework

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Pricing European options based on the fuzzy pattern of Black-Scholes formula.

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Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options

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Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus

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The valuation of European options in uncertain environment

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A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty

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Generalised soft binomial American real option pricing model (fuzzy-stochastic approach)

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Identifiers

zbMATH Open document ID

1522.91277

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Mathematics Subject Classification ID

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10.1016/J.FSS.2021.11.005

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Sitelinks

Mathematics(1 entry)

mardi Publication:6058065