Option pricing formulas for generalized fuzzy stock model

DOI10.3934/jimo.2018158zbMath1438.91165OpenAlexW2890988043WikidataQ128982060 ScholiaQ128982060MaRDI QIDQ2338481

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

zbMATH Keywords

option pricingfuzzy integralfuzzy differential equationLiu process

Mathematics Subject Classification ID

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

Related Items (2)

European option pricing under fuzzy CEV model ⋮ Pricing of European call option under fuzzy interest rate

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Existence of solutions of fuzzy differential equations with parameters
• A new kind of generalized fuzzy integrals
• MULTI-DIMENSIONAL LIU PROCESS, INTEGRAL AND DIFFERENTIAL
• Fuzzy sets
• Fuzzy differential equations

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