Computing option price for Lévy process with fuzzy parameters

DOI10.1016/j.ejor.2009.02.009zbMath1177.91132MaRDI QIDQ1044156

J. Blot

Publication date: 10 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.02.009

zbMATH Keywords

fuzzy sets; simulation; stochastic processes; finance

Mathematics Subject Classification ID

90C70: Fuzzy and other nonstochastic uncertainty mathematical programming

91G20: Derivative securities (option pricing, hedging, etc.)