Option pricing formulas for generalized fuzzy stock model

DOI10.3934/JIMO.2018158MaRDI QIDQ2338481zbMATH OpenOpenAlexWikidataFDO

Authors Cuilian You, Le Bo

Publication date 21 November 2019

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2018158

zbMATH Keywords

option pricingfuzzy differential equationLiu processfuzzy integral

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A new kind of generalized fuzzy integrals
• A power option pricing model for stock price following geometric fractional Liu process
• Existence of solutions of fuzzy differential equations with parameters
• Fuzzy differential equations
• Fuzzy sets
• Multi-dimensional Liu process, integral and differential
• The pricing of options and corporate liabilities

Cited in

(15)

• The warrant pricing model with transaction costs in fuzzy environment
• Fuzzy pricing of american options on stocks with known dividends and its algorithm
• The parabolic-type fuzzy binomial tree model with European option pricing
• Nonstochastic Model-Based Finance Engineering
• The stock value based on the GCS-BP's option pricing model
• scientific article; zbMATH DE number 1944100 (Why is no real title available?)
• On one optimization problem of the stock portfolio and European type options
• Fractional Liu process with application to finance
• European option pricing under fuzzy CEV model
• A discrete-time American put option model with fuzziness of stock prices
• Option pricing formula for stock model
• Pricing stock options using fuzzy sets
• Application of Fuzzy Theory to Binomial Option Pricing Model
• Pricing of European call option under fuzzy interest rate
• Pricing stocks by using fuzzy dividend discount models

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