Options pricing with time changed Lévy processes under imprecise information

DOI10.1007/S10700-014-9191-3MaRDI QIDQ1794512zbMATH OpenOpenAlexFDO

Authors Zhi-Yuan Feng, Johnson T.-S. Cheng, Yu-Hong Liu, I-Ming Jiang

Publication date 15 October 2018

Published in Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10700-014-9191-3

zbMATH Keywords

stochastic volatilityfuzzy measureimprecise informationtriangle-type fuzzy numberLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Theory of fuzzy sets, etc. (03E72)

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Cites work

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• Fuzzy sets
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• On weighted possibilistic mean and variance of fuzzy numbers
• Option pricing when underlying stock returns are discontinuous
• Stochastic Volatility for Lévy Processes
• The concept of a linguistic variable and its application to approximate reasoning. I
• The pricing of options and corporate liabilities
• Time changes for Lévy processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Uncertain stock model with periodic dividends

Cited in

(4)

• Extracting market information from equity options with exponential Lévy processes
• The total return swap pricing model under fuzzy random environments
• Option pricing for time-change exponential Lévy model under MEMM
• Option implied moments obtained through fuzzy regression

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