Compound option pricing under fuzzy environment

DOI10.1155/2014/875319MaRDI QIDQ1714799zbMATHOpenAlexWikidataFDO

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

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)

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Cited in

(10)

• scientific article; zbMATH DE number 5631139 (Why is no real title available?)
• The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options
• Option implied moments obtained through fuzzy regression
• Option pricing and the Greeks under Gaussian fuzzy environments
• scientific article; zbMATH DE number 5140674 (Why is no real title available?)
• A new default probability calculation formula and its application under uncertain environments
• Incorporating uncertainty in financial models
• Application of Fuzzy Theory to Binomial Option Pricing Model
• A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
• Option replication with transaction cost under Knightian uncertainty

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