Option price sensitivities through fuzzy numbers
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Publication:552168
DOI10.1016/J.CAMWA.2010.11.024zbMATH Open1217.91219OpenAlexW2060076929MaRDI QIDQ552168FDOQ552168
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
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Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Financial applications of other theories (91G80)
Cites Work
- The pricing of options and corporate liabilities
- Fuzzy sets and systems. Theory and applications
- Fuzzy sets
- Approximate fuzzy arithmetic operations using monotonic interpolations
- The fuzzy mathematics of finance
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- Parametric representation of fuzzy numbers and application to fuzzy calculus
- Pricing European options based on the fuzzy pattern of Black-Scholes formula.
- The valuation of European options in uncertain environment
- Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options
- Towards a general setting for the fuzzy mathematics of finance
- Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing
- Option valuation model with adaptive fuzzy numbers
- Application of the fuzzy-stochastic methodolgy to appraising the firm value as a European call option
Cited In (16)
- On characterizations of directional derivatives and subdifferentials of fuzzy functions
- Interval and fuzzy average internal rate of return for investment appraisal
- Title not available (Why is that?)
- A fuzzy approach for R\&D compound option valuation
- On some characterizations of preinvex fuzzy mappings
- Pricing currency option based on the extension principle and defuzzification via weighting parameter identification
- Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework
- Title not available (Why is that?)
- Different optimum notions for fuzzy functions and optimality conditions associated
- Option valuation model with adaptive fuzzy numbers
- Option implied moments obtained through fuzzy regression
- Option pricing and the Greeks under Gaussian fuzzy environments
- Sensitivity of option prices via fuzzy Malliavin calculus
- The fuzzy pricing of Asian options based on weighted possibilistic mean
- Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing
- Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions
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