Fuzziness in valuing financial instruments by certainty equivalents.

DOI10.1016/S0377-2217(01)00041-8MaRDI QIDQ5952436zbMATH OpenFDO

Authors Maria Rosaria Simonelli

Publication date 2001

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0377-2217(01)00041-8

zbMATH Keywords

Fuzzy setsPricingUncertainty modellingUtility theory

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• Coherent measures of risk
• Equations with fuzzy numbers
• Fuzzy sets
• Fuzzy sets and systems. Theory and applications
• scientific article; zbMATH DE number 1099343 (Why is no real title available?)
• scientific article; zbMATH DE number 222629 (Why is no real title available?)
• Risk Aversion in the Small and in the Large
• Soft computing in financial engineering
• The fuzzy mathematics of finance
• The pricing of options and corporate liabilities
• Towards a general setting for the fuzzy mathematics of finance

Cited in

(13)

• A jump-diffusion model for option pricing under fuzzy environments
• The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options
• Value at risk methodology under soft conditions approach (fuzzy-stochastic approach)
• The total return swap pricing model under fuzzy random environments
• A discrete-time American put option model with fuzziness of stock prices
• Uncertainty in firm valuation and a cross-sectional misvaluation measure
• Expected payoff of trading strategies involving European options for fuzzy financial market
• Fuzzy logic in insurance
• Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options
• A reduced-form intensity-based model under fuzzy environments
• Towards a general setting for the fuzzy mathematics of finance
• A study of Greek letters of currency option under uncertainty environments
• Generalised soft binomial American real option pricing model (fuzzy-stochastic approach)

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