A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty

DOI10.1016/J.FSS.2003.11.022zbMath1171.91347OpenAlexW2115904015MaRDI QIDQ853433

N. E. Zubov

Publication date: 15 November 2006

Published in: Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.fss.2003.11.022

zbMATH Keywords

optimal stoppingmean valuesuncertainty modelingfuzzy stochastic processAmerican put optionevaluation measurespessimistic-optimistic indexpossibility-necessity weight

Mathematics Subject Classification ID

Decision theory (91B06) Derivative securities (option pricing, hedging, etc.) (91G20)

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