Pricing of European call option under fuzzy interest rate

DOI10.3934/JIMO.2022033MaRDI QIDQ2097490zbMATH OpenOpenAlexFDO

Authors Cuilian You, Le Bo

Publication date 14 November 2022

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2022033

zbMATH Keywords

option pricingfuzzy differential equationLiu process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Fuzzy partial differential equations (35R13)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A power option pricing model for stock price following geometric fractional Liu process
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Black-Scholes formula in subdiffusive regime
• Fractional Liu process with application to finance
• Fuzzy Euler approximation and its local convergence
• Fuzzy sets
• Fuzzy sets as a basis for a theory of possibility
• Option pricing formulas for generalized fuzzy stock model
• Option pricing under the Merton model of the short rate
• Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime
• Pricing interest-rate-derivative securities
• Stability in mean for fuzzy differential equation
• The pricing of options and corporate liabilities
• Uncertainty theory

Cited in

(7)

• Analyzing short-rate models for efficient bond option pricing: a review
• European option pricing under fuzzy environments
• Fuzzy optimization of option pricing model and its application in land expropriation
• Pricing European call options with interval-valued volatility and interest rate
• European option pricing under fuzzy CEV model
• Pricing European barrier options in fuzzy and stochastic environments
• Compound option pricing under fuzzy environment

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