A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty
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Publication:853433
DOI10.1016/J.FSS.2003.11.022zbMATH Open1171.91347OpenAlexW2115904015MaRDI QIDQ853433FDOQ853433
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
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Cites Work
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- Fuzzy sets
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- A procedure for ordering fuzzy subsets of the unit interval
- Ranking and defuzzification methods based on area compensation
- Elementary fuzzy calculus
- On possibilistic mean value and variance of fuzzy numbers
- The valuation of European options in uncertain environment
- Reasonable properties for the ordering of fuzzy quantities. I
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- A subjective approach for ranking fuzzy numbers
- Mathematics of financial markets
- The theory of fuzzy stochastic processes
- The \(\lambda\)-average value and the fuzzy expectation of a fuzzy random variable
- Optimal stopping problems in a stochastic and fuzzy system
Cited In (24)
- A new default probability calculation formula and its application under uncertain environments
- Possibilistic mean based defuzzification for fuzzy expert systems and fuzzy control -- LSD for general fuzzy sets
- The total return swap pricing model under fuzzy random environments
- A discrete-time model of American put option in an uncertain environment.
- An estimation model of value-at-risk portfolio under uncertainty
- Pricing and hedging in a single period market with random interval valued assets
- Interactive multiobjective fuzzy random linear programming: Maximization of possibility and probability
- A fuzzy approach for R\&D compound option valuation
- Pricing a contingent claim with random interval or fuzzy random payoff in one-period setting
- A jump-diffusion model for option pricing under fuzzy environments
- A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
- Measuring interest rate risk with embedded option using HPL-MC method in fuzzy and stochastic environment
- An improved index of interactivity for fuzzy numbers
- Fuzzy pay-off method for real options: the center of gravity approach with application in oilfield abandonment
- A discrete-time American put option model with fuzziness of stock prices
- Harmonizing two approaches to fuzzy random variables
- Option pricing and the Greeks under Gaussian fuzzy environments
- A reduced-form intensity-based model under fuzzy environments
- On Mean Value and Variance of Interval-Valued Fuzzy Numbers
- New definitions of mean value and variance of fuzzy numbers: an application to the pricing of life insurance policies and real options
- Sensitivity of option prices via fuzzy Malliavin calculus
- A fuzzy stochastic multi-objective optimization model to configure a supply chain considering new product development
- Options pricing with time changed Lévy processes under imprecise information
- A study of Greek letters of currency option under uncertainty environments
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