A geometric Lévy model for n-fold compound option pricing in a fuzzy framework

DOI10.1016/J.CAM.2016.04.021MaRDI QIDQ289315zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

\(n\)-fold compound optionsEsscher transformed martingale measurefuzzy expectationfuzzy stochastic processLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A Simple Approximation for Bivariate and Trivariate Normal Integrals
• A comparative study on time-efficient methods to price compound options in the Heston model
• A fuzzy approach to option pricing in a Lévy process setting
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• A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty
• An optimal stopping problem in dynamic fuzzy systems with fuzzy rewards
• Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework
• Binary option pricing using fuzzy numbers
• Compound option pricing under fuzzy environment
• Computation of the Trivariate Normal Integral
• Computing option price for Lévy process with fuzzy parameters
• Efficient pricing of Bermudan options using recombining quadratures
• Evaluating pharmaceutical R\&D under technical and economic uncertainty
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• Fuzzy sets
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• The cumulant process and Esscher's change of measure
• The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques
• The generalized sequential compound options pricing and sensitivity analysis
• The influence of a stochastic interest rate on the \(n\)-fold compound option
• The pricing of options and corporate liabilities
• The valuation of European options in uncertain environment
• Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options
• Valuation of N-stage investments under jump-diffusion processes

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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