Option pricing formulas for generalized fuzzy stock model

DOI10.3934/JIMO.2018158zbMATH Open1438.91165OpenAlexW2890988043WikidataQ128982060 ScholiaQ128982060MaRDI QIDQ2338481FDOQ2338481

Authors: Cuilian You, Le Bo 

Publication date: 21 November 2019

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2018158

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zbMATH Keywords

option pricingfuzzy differential equationLiu processfuzzy integral

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Cites Work

• The pricing of options and corporate liabilities
• Fuzzy sets
• Title not available (Why is that?)
• Fuzzy differential equations
• Existence of solutions of fuzzy differential equations with parameters
• Multi-dimensional Liu process, integral and differential
• A new kind of generalized fuzzy integrals
• A power option pricing model for stock price following geometric fractional Liu process

Cited In (15)

• Pricing of European call option under fuzzy interest rate
• On one optimization problem of the stock portfolio and European type options
• Pricing stocks by using fuzzy dividend discount models
• European option pricing under fuzzy CEV model
• Nonstochastic Model-Based Finance Engineering
• Option pricing formula for stock model
• The warrant pricing model with transaction costs in fuzzy environment
• Pricing stock options using fuzzy sets
• The stock value based on the GCS-BP's option pricing model
• The parabolic-type fuzzy binomial tree model with European option pricing
• A discrete-time American put option model with fuzziness of stock prices
• Fractional Liu process with application to finance
• Application of Fuzzy Theory to Binomial Option Pricing Model
• Title not available (Why is that?)
• Fuzzy pricing of american options on stocks with known dividends and its algorithm

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