Compound option pricing under fuzzy environment

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

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)

Cited In (8)

• 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
• 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

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