A note on Yoshida's optimal stopping model for option pricing
From MaRDI portal
Publication:2572267
DOI10.1016/j.ejor.2004.11.023zbMath1116.91036MaRDI QIDQ2572267
Publication date: 16 November 2005
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2004.11.023
91B70: Stochastic models in economics
03E72: Theory of fuzzy sets, etc.
60G40: Stopping times; optimal stopping problems; gambling theory
91B18: Public goods
Cites Work
- Unnamed Item
- Two families of fuzzy integrals
- A subjective approach for ranking fuzzy numbers
- Non-additive measure and integral
- Optimal stopping problems in a stochastic and fuzzy system
- Fundamentals and Bayesian analyses of decision problems with fuzzy-valued utilities
- The valuation of European options in uncertain environment