Pricing of European call option under fuzzy interest rate
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Publication:2097490
DOI10.3934/JIMO.2022033OpenAlexW4226396193MaRDI QIDQ2097490FDOQ2097490
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Fuzzy partial differential equations (35R13)
Cites Work
- The pricing of options and corporate liabilities
- A theory of the term structure of interest rates
- Fuzzy sets as a basis for a theory of possibility
- An equilibrium characterization of the term structure
- Pricing interest-rate-derivative securities
- Fuzzy sets
- Title not available (Why is that?)
- Uncertainty theory
- Black-Scholes formula in subdiffusive regime
- Option pricing under the Merton model of the short rate
- Fractional Liu process with application to finance
- Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime
- Fuzzy Euler approximation and its local convergence
- Stability in mean for fuzzy differential equation
- Option pricing formulas for generalized fuzzy stock model
- A power option pricing model for stock price following geometric fractional Liu process
Cited In (7)
- European option pricing under fuzzy CEV model
- Pricing European call options with interval-valued volatility and interest rate
- European option pricing under fuzzy environments
- Analyzing short-rate models for efficient bond option pricing: a review
- Compound option pricing under fuzzy environment
- Fuzzy optimization of option pricing model and its application in land expropriation
- Pricing European barrier options in fuzzy and stochastic environments
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