The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options
DOI10.1016/J.FSS.2016.12.005zbMATH Open1381.35236OpenAlexW2559969663MaRDI QIDQ1697932FDOQ1697932
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
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Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fuzzy partial differential equations (35R13)
Cites Work
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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
- Construction of the bino-trinomial method using the fuzzy set approach for option pricing
- Binary option pricing using fuzzy numbers
- Option pricing with fuzzy-TGARCH volatility clustering
- Pricing European barrier options in fuzzy and stochastic environments
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