Option price sensitivities through fuzzy numbers

DOI10.1016/j.camwa.2010.11.024zbMath1217.91219MaRDI QIDQ552168

Maria Letizia Guerra, Luciano Stefanini, Laerte Sorini

Publication date: 21 July 2011

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2010.11.024

zbMATH Keywords

sensitivity analysis; option pricing; fuzzy numbers; parameterization

Mathematics Subject Classification ID

90C70: Fuzzy and other nonstochastic uncertainty mathematical programming

91G80: Financial applications of other theories

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