A European option pricing model in a stochastic and fuzzy environment

DOI10.1007/s11766-013-3030-0zbMath1299.91147OpenAlexW970969102MaRDI QIDQ2248260

Wenqiong Liu, Sheng-Hong Li

Publication date: 30 June 2014

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-013-3030-0

zbMATH Keywords

fuzzy random variablejump-diffusion processEuropean option pricerational expectations price

Mathematics Subject Classification ID

Related Items (6)

Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility ⋮ The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options ⋮ European option pricing under fuzzy CEV model ⋮ A comparison of fuzzy regression methods for the estimation of the implied volatility smile function ⋮ Pricing European options under uncertainty with application of Lévy processes and the minimal \(L^q\) equivalent martingale measure ⋮ Option replication with transaction cost under Knightian uncertainty

Cites Work

• Unnamed Item
• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options
• A jump-diffusion model for option pricing under fuzzy environments
• Computing option price for Lévy process with fuzzy parameters
• Fuzzy random variables - I. Definitions and theorems
• Fuzzy sets and systems. Theory and applications
• Pricing European options based on the fuzzy pattern of Black-Scholes formula.
• On weighted possibilistic mean and variance of fuzzy numbers
• Optimal stopping models in a stochastic and fuzzy environment
• The valuation of European options in uncertain environment
• Stochastic calculus for finance. II: Continuous-time models.
• Hyperbolic distributions in finance
• American option pricing with imprecise risk-neutral probabilities
• Option valuation model with adaptive fuzzy numbers
• A Theory of the Term Structure of Interest Rates
• Arbitrage with Fractional Brownian Motion
• European option pricing under fuzzy environments
• Option pricing when underlying stock returns are discontinuous
• Fuzzy sets
• On possibilistic mean value and variance of fuzzy numbers

This page was built for publication: A European option pricing model in a stochastic and fuzzy environment