The total return swap pricing model under fuzzy random environments
From MaRDI portal
Publication:2398729
DOI10.1155/2017/9762841zbMath1405.91656OpenAlexW2582231880WikidataQ59143366 ScholiaQ59143366MaRDI QIDQ2398729
Liang Wu, Jiefang Liu, Ya-Ming Zhuang, Jun Tao Wang
Publication date: 21 August 2017
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2017/9762841
Related Items
Introducing fuzziness in CDS pricing under a structural model, A new default probability calculation formula and its application under uncertain environments
Cites Work
- A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty
- Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options
- A reduced-form intensity-based model under fuzzy environments
- A multiperiod binomial model for pricing options in a vague world
- A jump-diffusion model for option pricing under fuzzy environments
- Fuzzy defaultable bonds
- Computing option price for Lévy process with fuzzy parameters
- The mean value of a fuzzy number
- Pricing European options based on the fuzzy pattern of Black-Scholes formula.
- Credit derivatives pricing model for fuzzy financial market
- Total return swap valuation with counterparty risk and interest rate risk
- Binary option pricing using fuzzy numbers
- Options pricing with time changed Lévy processes under imprecise information
- On weighted possibilistic mean and variance of fuzzy numbers
- The fuzzy mathematics of finance
- The valuation of European options in uncertain environment
- Stochastic calculus for finance. II: Continuous-time models.
- Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework
- Bond pricing under imprecise information
- On theoretical pricing of options with fuzzy estimators
- Fuzzy semi-Markov migration process in credit risk
- First passage times of a jump diffusion process
- European option pricing under fuzzy environments
- A fuzzy approach to option pricing in a Levy process setting
- Fuzzy sets
- Fuzzy random variables
- On possibilistic mean value and variance of fuzzy numbers
- Fuzziness in valuing financial instruments by certainty equivalents.
- Application of the fuzzy-stochastic methodolgy to appraising the firm value as a European call option
- Unnamed Item
- Unnamed Item