Pricing currency option based on the extension principle and defuzzification via weighting parameter identification

DOI10.1155/2013/623945zbMath1266.91027WikidataQ59003392 ScholiaQ59003392MaRDI QIDQ2375610

Jixiang Xu, Yanhua Tan, Jinggui Gao, En-Min Feng

Publication date: 14 June 2013

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

Full work available at URL: https://doi.org/10.1155/2013/623945

Mathematics Subject Classification ID

91B70: Stochastic models in economics

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Option price sensitivities through fuzzy numbers
• Martingale methods in financial modelling.
• Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options
• A multiperiod binomial model for pricing options in a vague world
• Pricing currency options based on fuzzy techniques
• A study of Greek letters of currency option under uncertainty environments
• A jump-diffusion model for option pricing under fuzzy environments
• The concept of a linguistic variable and its application to approximate reasoning. I
• The concept of a linguistic variable and its application to approximate reasoning. II
• The concept of a linguistic variable and its application to approximate reasoning. III
• A discrete-time model of American put option in an uncertain environment.
• On weighted possibilistic mean and variance of fuzzy numbers
• The valuation of European options in uncertain environment
• The extension principle and a decomposition of fuzzy sets
• European option pricing under fuzzy environments
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Fuzzy sets