The valuation of European options in uncertain environment

DOI10.1016/S0377-2217(02)00209-6zbMath1011.91045MaRDI QIDQ1869451

Publication date: 10 April 2003

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(02)00209-6

zbMATH Keywords

fuzzy expectation; European options; uncertainty modeling; process; valuation of price; fuzzy stochastic

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

A fuzzy approach to option pricing in a Levy process setting, N-Fold compound option pricing with technical risk under fractional jump-diffusion model, Sensitivity of option prices via fuzzy Malliavin calculus, An approximate approach to fuzzy stochastic differential equations under sub-fractional Brownian motion, A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework, A comparison of fuzzy regression methods for the estimation of the implied volatility smile function, Option price sensitivities through fuzzy numbers, Harmonizing two approaches to fuzzy random variables, Option pricing and the Greeks under Gaussian fuzzy environments, A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty, Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options, A reduced-form intensity-based model under fuzzy environments, A study of Greek letters of currency option under uncertainty environments, Generalised soft binomial American real option pricing model (fuzzy-stochastic approach), A jump-diffusion model for option pricing under fuzzy environments, A fuzzy pay-off method for real option valuation, Fuzzy defaultable bonds, An estimation model of value-at-risk portfolio under uncertainty, Continuous-time fuzzy decision processes with discounted rewards., The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options, Introducing fuzziness in CDS pricing under a structural model, A new default probability calculation formula and its application under uncertain environments, The risk premium that never was: a fair value explanation of the volatility spread, Pricing European options under uncertainty with application of Lévy processes and the minimal \(L^q\) equivalent martingale measure, No-arbitrage theorem for multi-factor uncertain stock model with floating interest rate, Option-game approach to analyze technology innovation investment under fuzzy environment, Option replication with transaction cost under Knightian uncertainty, Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion, Critical value-based Asian option pricing model for uncertain financial markets, Modeling uncertainty in limit order execution, Interval pricing study of deposit insurance in China, A European option pricing model in a stochastic and fuzzy environment, Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework, Fuzzy optimization of option pricing model and its application in land expropriation, Pricing and hedging in a single period market with random interval valued assets, Pricing currency option based on the extension principle and defuzzification via weighting parameter identification, American option pricing with imprecise risk-neutral probabilities, Quasi-arithmetic means and ratios of an interval induced from weighted aggregation operations, Pricing a contingent claim with random interval or fuzzy random payoff in one-period setting, The total return swap pricing model under fuzzy random environments, On an implicit assessment of fuzzy volatility in the Black and Scholes environment, Collaboration in tool development and capacity investments in high technology manufacturing networks, A discrete-time American put option model with fuzziness of stock prices, A note on Yoshida's optimal stopping model for option pricing, Multi-criteria classification for pricing European options, Fuzzy pricing of American options on stocks with known dividends and its algorithm, PERCEPTION-BASED ESTIMATIONS OF FUZZY RANDOM VARIABLES: LINEARITY AND CONVEXITY, Aggregated Mean Ratios of an Interval Induced from Aggregation Operations

Cites Work