A discrete-time American put option model with fuzziness of stock prices

DOI10.1007/S10700-005-1889-9zbMath1133.91440OpenAlexW1975208772MaRDI QIDQ2481229

Yanyan Li

Publication date: 9 April 2008

Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10700-005-1889-9

zbMATH Keywords

optimal stoppingfuzzy measuresfinancial engineeringfuzzy stochastic processAmerican put optiondecision making with uncertainty\(\lambda\)-weighting functions

Mathematics Subject Classification ID

Decision theory (91B06) Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Application of gray systems and fuzzy sets in combination with real options theory in project portfolio management ⋮ Generalised soft binomial American real option pricing model (fuzzy-stochastic approach) ⋮ Options pricing with time changed Lévy processes under imprecise information

Cites Work

• Unnamed Item
• Elementary fuzzy calculus
• Fuzzy random variables - I. Definitions and theorems
• Fuzzy random variables - II. Algorithms and examples for the discrete case
• The theory of fuzzy stochastic processes
• Ranking and defuzzification methods based on area compensation
• A fuzzy approach to real option valuation
• Optimal stopping problems in a stochastic and fuzzy system
• The valuation of European options in uncertain environment
• 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

This page was built for publication: A discrete-time American put option model with fuzziness of stock prices