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

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

Review text

Summary: Option pricing is irreversible, fuzzy, and flexible. The fuzzy measure which is used for real option pricing is a useful supplement to the traditional real option pricing method. Based on the review of the concepts of the mean and variance of trapezoidal fuzzy number and the combination with the Carlsson-Fuller model, the trapezoidal fuzzy variable can be used to represent the current price of land expropriation and the sale price of land on the option day. Fuzzy Black-Scholes option pricing model can be constructed under fuzzy environment and problems also can be solved and discussed through numerical examples.

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Cites work

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• scientific article; zbMATH DE number 5631139 (Why is no real title available?)
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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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