PRICING STOCK OPTIONS USING BLACK-SCHOLES AND FUZZY SETS
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Publication:3520384
DOI10.1142/S1793005708001008zbMath1152.91489OpenAlexW1980567444MaRDI QIDQ3520384
Buckley, James J., Esfandiar Eslami
Publication date: 26 August 2008
Published in: New Mathematics and Natural Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s1793005708001008
Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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- Option pricing under model and parameter uncertainty using predictive densities
- On using \(\alpha\)-cuts to evaluate fuzzy equations
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- Fuzzy probability and statistics.
- European option pricing under fuzzy environments
- The relaxed investor and parameter uncertainty
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