Option pricing and the Greeks under Gaussian fuzzy environments

DOI10.1007/S00500-019-03876-WMaRDI QIDQ780218zbMATHOpenAlexWikidataFDO

Authors Hong-Ming Chen, Cheng-Feng Hu, W. Yeh

Publication date 15 July 2020

Published in Soft Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00500-019-03876-w

zbMATH Keywords

optimizationoptionsGreeksGaussian fuzzy numberSPX

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

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Cites work

• scientific article; zbMATH DE number 1093825 (Why is no real title available?)
• A binomial tree approach to pricing vulnerable option in a vague world
• A comparison of fuzzy regression methods for the estimation of the implied volatility smile function
• A fuzzy approach to real option valuation
• A jump-diffusion model for option pricing under fuzzy environments
• A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty
• A study of Greek letters of currency option under uncertainty environments
• Asian option pricing problems of uncertain mean-reverting stock model
• Compound option pricing under fuzzy environment
• Estimating option Greeks under the stochastic volatility using simulation
• European option pricing under fuzzy environments
• Fuzzy arithmetic on LR fuzzy numbers with applications to fuzzy programming
• Fuzzy sets
• On theoretical pricing of options with fuzzy estimators
• Operations on fuzzy numbers
• Option price sensitivities through fuzzy numbers
• Pricing European options based on the fuzzy pattern of Black-Scholes formula.
• The concept of a linguistic variable and its application to approximate reasoning. I
• The fuzzy mathematics of finance
• The pricing of options and corporate liabilities
• The valuation of European options in uncertain environment

Cited in

(7)

• scientific article; zbMATH DE number 5631139 (Why is no real title available?)
• Option implied moments obtained through fuzzy regression
• Option price sensitivities through fuzzy numbers
• Consistency-index-driven group decision making under the environment of triangular fuzzy numbers
• On an implicit assessment of fuzzy volatility in the Black and Scholes environment
• A study of Greek letters of currency option under uncertainty environments
• Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing

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