A geometric Lévy model for n-fold compound option pricing in a fuzzy framework
DOI10.1016/J.CAM.2016.04.021zbMATH Open1337.91114OpenAlexW2343910167MaRDI QIDQ289315FDOQ289315
Authors: Xiandong Wang, Jianmin He 
Publication date: 30 May 2016
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.04.021
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- Compound option pricing under fuzzy environment
- A fuzzy approach to option pricing in a Lévy process setting
\(n\)-fold compound optionsEsscher transformed martingale measurefuzzy expectationfuzzy stochastic processLévy process
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- The pricing of options and corporate liabilities
- A jump-diffusion model for option pricing
- Fuzzy random variables - I. Definitions and theorems
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- Fuzzy sets
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- Evaluating pharmaceutical R\&D under technical and economic uncertainty
- Option pricing when underlying stock returns are discontinuous
- The cumulant process and Esscher's change of measure
- Option Pricing With V. G. Martingale Components1
- A jump-diffusion model for option pricing under fuzzy environments
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- Binary option pricing using fuzzy numbers
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- Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework
- The generalized sequential compound options pricing and sensitivity analysis
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- A comparative study on time-efficient methods to price compound options in the Heston model
- A Simple Approximation for Bivariate and Trivariate Normal Integrals
- Computation of the Trivariate Normal Integral
- Valuation of \(N\)-stage investments under jump-diffusion processes
- The influence of a stochastic interest rate on the \(n\)-fold compound option
- An optimal stopping problem in dynamic fuzzy systems with fuzzy rewards
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- A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty
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Cited In (6)
- An approximate approach to fuzzy stochastic differential equations under sub-fractional Brownian motion
- N-Fold compound option pricing with technical risk under fractional jump-diffusion model
- Pricing European options under uncertainty with application of Lévy processes and the minimal \(L^q\) equivalent martingale measure
- The influence of a stochastic interest rate on the \(n\)-fold compound option
- Sensitivity of option prices via fuzzy Malliavin calculus
- A simple method for generalized sequential compound options pricing
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