The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options

DOI10.1016/J.FSS.2016.12.005MaRDI QIDQ1697932zbMATH OpenOpenAlexFDO

Authors Hua Li, Antony Ware, Lan Di, Anatoliy Swishchuk, Steven Yuan, George Yuan

Publication date 21 February 2018

Published in Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.fss.2016.12.005

zbMATH Keywords

fuzzy parametersoption pricingnonlinear fuzzy PDEoptimal-hedging

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fuzzy partial differential equations (35R13)

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Cites work

• scientific article; zbMATH DE number 3733484 (Why is no real title available?)
• scientific article; zbMATH DE number 2110675 (Why is no real title available?)
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• Worst case model risk management

Cited in

(9)

• Valuation of forward contract price in energy markets described by a fuzzy-stochastic model and mathematical algorithms: a case study of the PJM western hub real-time peak market
• European option pricing under fuzzy CEV model
• Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with \(w\) sources of risk in fuzzy environment
• Pricing European options under uncertainty with application of Lévy processes and the minimal L^q equivalent martingale measure
• Compound option pricing under fuzzy environment
• Binary option pricing using fuzzy numbers
• Construction of the bino-trinomial method using the fuzzy set approach for option pricing
• Option pricing with fuzzy-TGARCH volatility clustering
• Pricing European barrier options in fuzzy and stochastic environments

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