PRICING STOCK OPTIONS USING BLACK-SCHOLES AND FUZZY SETS

DOI10.1142/S1793005708001008MaRDI QIDQ3520384zbMATH OpenOpenAlexFDO

Authors James J. Buckley, 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

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Pricing stock options using fuzzy sets
• Pricing European options based on the fuzzy pattern of Black-Scholes formula.
• European option pricing under fuzzy environments
• Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options
• An empirical assestment of fuzzy Black and Scholes pricing option model in Spanish stock option market

Cites work

• European option pricing under fuzzy environments
• Fuzzy probability and statistics.
• scientific article; zbMATH DE number 412110 (Why is no real title available?)
• scientific article; zbMATH DE number 1183717 (Why is no real title available?)
• On using -cuts to evaluate fuzzy equations
• Option pricing under model and parameter uncertainty using predictive densities
• Pricing European options based on the fuzzy pattern of Black-Scholes formula.
• The relaxed investor and parameter uncertainty

Cited in

(9)

• Pricing European options based on the fuzzy pattern of Black-Scholes formula.
• Application of Fuzzy Theory to Binomial Option Pricing Model
• scientific article; zbMATH DE number 5140674 (Why is no real title available?)
• Pricing stock options using fuzzy sets
• Pricing Options, Forwards and Futures Using Fuzzy Set Theory
• An empirical assestment of fuzzy Black and Scholes pricing option model in Spanish stock option market
• Pricing stocks by using fuzzy dividend discount models
• Option price sensitivities through fuzzy numbers
• Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options

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