Fuzzy optimization of option pricing model and its application in land expropriation

DOI10.1155/2014/635898MaRDI QIDQ2336610zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Aimin Heng, Yingshuang Tan, Qi'an Chen

Publication date 19 November 2019

Published in Journal of Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/635898

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

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Cites work

• scientific article; zbMATH DE number 5631139 (Why is no real title available?)
• A fuzzy approach to R{\&}D project portfolio selection
• A fuzzy approach to real option valuation
• A generalization of the Geske formula for compound options
• American option pricing with imprecise risk-neutral probabilities
• Application of the fuzzy-stochastic methodolgy to appraising the firm value as a European call option
• On theoretical pricing of options with fuzzy estimators
• Option valuation model with adaptive fuzzy numbers
• Pricing currency options based on fuzzy techniques
• Real options in strategic investment games between two asymmetric firms
• The valuation of European options in uncertain environment
• Uncertainty theory
• Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options

Cited in

(3)

• Fuzzy options with application to default risk analysis for municipal bonds in China
• Fuzzy pay-off method for real options: the center of gravity approach with application in oilfield abandonment
• Option replication with transaction cost under Knightian uncertainty

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