Extensions and distortions of -fuzzy measures

DOI10.1016/J.FSS.2020.02.014MaRDI QIDQ2048754zbMATHOpenAlexFDO

Authors Umberto Cherubini, Sabrina Mulinacci

Publication date 23 August 2021

Published in Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.fss.2020.02.014

zbMATH Keywords

option pricingfuzzy measures\(\lambda\)-measureArchimedean \(t\)-conormsChoquet pricing

Mathematics Subject Classification ID

Fuzzy measure theory (28E10)

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Cites work

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• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
• Decomposable capacities, distorted probabilities and concave capacities
• Fuzzy measures and asset prices: accounting for information ambiguity
• Fuzzy options with application to default risk analysis for municipal bonds in China
• Liquidity and credit risk
• Modeling attitude to risk in human decision processes: an application of fuzzy measures
• Non-additive measure and integral
• Put-call parity and market frictions
• Sugeno's fuzzy measure and fuzzy clustering
• Theory of capacities

Cited in

(4)

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• Modeling Decisions for Artificial Intelligence
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