Fuzziness in valuing financial instruments by certainty equivalents.
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Publication:5952436
DOI10.1016/S0377-2217(01)00041-8zbMath1051.91018MaRDI QIDQ5952436
Publication date: 2001
Published in: European Journal of Operational Research (Search for Journal in Brave)
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Related Items (10)
Value at risk methodology under soft conditions approach (fuzzy-stochastic approach) ⋮ The total return swap pricing model under fuzzy random environments ⋮ Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options ⋮ The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options ⋮ A reduced-form intensity-based model under fuzzy environments ⋮ A discrete-time American put option model with fuzziness of stock prices ⋮ Fuzzy logic in insurance ⋮ A study of Greek letters of currency option under uncertainty environments ⋮ Generalised soft binomial American real option pricing model (fuzzy-stochastic approach) ⋮ A jump-diffusion model for option pricing under fuzzy environments
Cites Work
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- The Pricing of Options and Corporate Liabilities
- Towards a general setting for the fuzzy mathematics of finance
- Equations with fuzzy numbers
- Fuzzy sets and systems. Theory and applications
- The fuzzy mathematics of finance
- Coherent Measures of Risk
- Risk Aversion in the Small and in the Large
- Fuzzy sets
- Soft computing in financial engineering
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