Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework

DOI10.1016/j.cam.2013.11.031zbMath1291.91209MaRDI QIDQ2252399

Yanyan Li

Publication date: 17 July 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.11.031

zbMATH Keywords

option pricing; fuzzy numbers; simulations; mean correcting martingale measure; Esscher martingale measure

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories

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

60A86: Fuzzy probability

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