Pricing a contingent claim with random interval or fuzzy random payoff in one-period setting

DOI10.1016/J.CAMWA.2008.04.031zbMATH Open1165.91426OpenAlexW2002510702MaRDI QIDQ2389730FDOQ2389730

Authors Surong You, Jiajin Le, Xiaodong Ding

Publication date 18 July 2009

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2008.04.031

zbMATH Keywords

pricingfuzzy random variableinterval numberarbitragereplicative strategystate price vector

Mathematics Subject Classification ID

Fuzzy real analysis (26E50)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• A discrete-time model of American put option in an uncertain environment.
• A multiperiod binomial model for pricing options in a vague world
• A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty
• A new perspective for optimal portfolio selection with random fuzzy returns
• Fuzzy random variables
• On comparing interval numbers
• On embedding problems of fuzzy number spaces. IV
• On fuzzy portfolio selection problems
• Overview on the development of fuzzy random variables
• Random intervals as a model for imprecise information
• Solutions for the portfolio selection problem with interval and fuzzy coefficients
• The valuation of European options in uncertain environment
• Toward a generalized theory of uncertainty (GTU) -- an outline

Cited in

(2)

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