American option pricing with imprecise risk-neutral probabilities

DOI10.1016/J.IJAR.2007.06.011MaRDI QIDQ2379326zbMATH OpenOpenAlexFDO

Authors Silvia Muzzioli, Huguette Reynaerts

Publication date 19 March 2010

Published in International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ijar.2007.06.011

zbMATH Keywords

American put optionfuzzy linear systemsnonlinear programming

Mathematics Subject Classification ID

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

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Cites work

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• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
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• The valuation of European options in uncertain environment

Cited in

(14)

• Multi-period multi-criteria (MPMC) valuation of American options based on entropy optimization principles
• The waterline tree for separable local-volatility models
• A European option pricing model in a stochastic and fuzzy environment
• Fuzzy optimization of option pricing model and its application in land expropriation
• Option pricing under residual risk and imperfect hedging
• Pricing and hedging in a single period market with random interval valued assets
• American Option Valuation with Particle Filters
• Determining and benchmarking risk neutral distributions implied from option prices
• Fuzzy pricing of american options on stocks with known dividends and its algorithm
• scientific article; zbMATH DE number 5759642 (Why is no real title available?)
• scientific article; zbMATH DE number 1279074 (Why is no real title available?)
• A comparison of fuzzy regression methods for the estimation of the implied volatility smile function
• Pricing American options under Azzalini Ito-McKean skew Brownian motions
• A multiperiod binomial model for pricing options in a vague world

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