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

DOI10.1155/2014/635898zbMATH Open1442.91101DBLPjournals/jam/AiminCT14OpenAlexW2108402634WikidataQ59053886 ScholiaQ59053886MaRDI QIDQ2336610FDOQ2336610

Authors: Aimin Heng, Yingshuang Tan, Qi'an Chen 

Publication date: 19 November 2019

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

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

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Mathematics Subject Classification ID

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

Cites Work

• Uncertainty theory
• The valuation of European options in uncertain environment
• Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options
• American option pricing with imprecise risk-neutral probabilities
• Real options in strategic investment games between two asymmetric firms
• A fuzzy approach to R{\&}D project portfolio selection
• On theoretical pricing of options with fuzzy estimators
• Option valuation model with adaptive fuzzy numbers
• Application of the fuzzy-stochastic methodolgy to appraising the firm value as a European call option
• A fuzzy approach to real option valuation
• Title not available (Why is that?)
• Pricing currency options based on fuzzy techniques
• A generalization of the Geske formula for compound options

Cited In (3)

• Option replication with transaction cost under Knightian uncertainty
• 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

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