Compound option pricing under fuzzy environment

DOI10.1155/2014/875319zbMATH Open1406.91457OpenAlexW1983821398WikidataQ59052950 ScholiaQ59052950MaRDI QIDQ1714799FDOQ1714799

Authors: Xiandong Wang, Shouwei Li, Jianmin He 

Publication date: 1 February 2019

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/875319

Recommendations

• European option pricing under fuzzy environments
• Pricing European options based on the fuzzy pattern of Black-Scholes formula.
• On theoretical pricing of options with fuzzy estimators
• The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options
• Pricing of European call option under fuzzy interest rate

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Theory of fuzzy sets, etc. (03E72) Portfolio theory (91G10) Financial applications of other theories (91G80)

Cited In (9)

• A new default probability calculation formula and its application under uncertain environments
• Option replication with transaction cost under Knightian uncertainty
• Title not available (Why is that?)
• A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
• Incorporating uncertainty in financial models
• Title not available (Why is that?)
• Option implied moments obtained through fuzzy regression
• Option pricing and the Greeks under Gaussian fuzzy environments
• Application of Fuzzy Theory to Binomial Option Pricing Model

This page was built for publication: Compound option pricing under fuzzy environment

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1714799)