On theoretical pricing of options with fuzzy estimators

DOI10.1016/J.CAM.2007.12.006zbMath1159.91015OpenAlexW2020513006MaRDI QIDQ2378233

Konstantinos A. Chrysafis, Basil K. Papadopoulos

Publication date: 7 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.cam.2007.12.006

zbMATH Keywords

fuzzy estimatorspossibilistic meanBlack-Scholes option pricing formulafuzzy volatilityadaptive fuzzy numbers

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

Related Items (13)

The total return swap pricing model under fuzzy random environments ⋮ Corporate investment appraisal with possibilistic CAPM ⋮ The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options ⋮ Non-asymptotic fuzzy estimators based on confidence intervals ⋮ A comparison of fuzzy regression methods for the estimation of the implied volatility smile function ⋮ Approximations of fuzzy numbers by trapezoidal fuzzy numbers preserving the ambiguity and value ⋮ Imprecise set and fuzzy valued probability ⋮ A study of Greek letters of currency option under uncertainty environments ⋮ Generalised soft binomial American real option pricing model (fuzzy-stochastic approach) ⋮ Option replication with transaction cost under Knightian uncertainty ⋮ Option pricing and the Greeks under Gaussian fuzzy environments ⋮ Fuzzy optimization of option pricing model and its application in land expropriation ⋮ Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Non-asymptotic fuzzy estimators based on confidence intervals
• A note on the extension principle for fuzzy sets
• A refinement of the Black-Scholes formula of pricing options
• A fuzzy approach to real option valuation
• Pricing European options based on the fuzzy pattern of Black-Scholes formula.
• On weighted possibilistic mean and variance of fuzzy numbers
• Option valuation model with adaptive fuzzy numbers
• Fuzzy measures and asset prices: accounting for information ambiguity
• On possibilistic mean value and variance of fuzzy numbers
• Application of the fuzzy-stochastic methodolgy to appraising the firm value as a European call option

This page was built for publication: On theoretical pricing of options with fuzzy estimators