The solution of fuzzy linear systems by nonlinear programming: a financial application

DOI10.1016/j.ejor.2005.10.055zbMath1111.90105OpenAlexW2090303591MaRDI QIDQ856312

Huguette Reynaerts, Silvia Muzzioli

Publication date: 7 December 2006

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2005.10.055

zbMATH Keywords

fuzzy setsfuzzy linear systemsbinary tree model

Mathematics Subject Classification ID

Nonlinear programming (90C30) Theory of fuzzy sets, etc. (03E72)

Related Items (16)

Application of gray systems and fuzzy sets in combination with real options theory in project portfolio management ⋮ American option pricing with imprecise risk-neutral probabilities ⋮ Solving parametric fuzzy systems of linear equations by a nonlinear programming method ⋮ Solution of the fully fuzzy linear systems using the decomposition procedure ⋮ Fuzzy LR linear systems: quadratic and least squares models to characterize exact solutions and an algorithm to compute approximate solutions ⋮ Interval linear systems as a necessary step in fuzzy linear systems ⋮ New solutions of LR fuzzy linear systems using ranking functions and ABS algorithms ⋮ Analyzing the solution of a system of fuzzy linear equations by a fuzzy distance ⋮ Perturbation analysis of fuzzy linear systems ⋮ Pricing of minimum guarantees in life insurance contracts with fuzzy volatility ⋮ A soft multi-criteria decision analysis model with application to the European Union enlargement ⋮ Non-probabilistic uncertain static responses of imprecisely defined structures with fuzzy parameters ⋮ BOUNDED LINEAR PROGRAMS WITH TRAPEZOIDAL FUZZY NUMBERS ⋮ Generalised soft binomial American real option pricing model (fuzzy-stochastic approach) ⋮ Solutions of fuzzy LR algebraic linear systems using linear programs ⋮ New approach to solve fully fuzzy system of linear equations using single and double parametric form of fuzzy numbers

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Derived eigenvalues of symmetric matrices, with applications to distance geometry
• A multiperiod binomial model for pricing options in a vague world
• Fuzzy sets and systems. Theory and applications
• Solving systems of linear fuzzy equations
• Fuzzy sets as a basis for a theory of possibility
• On the pricing of contingent claims under constraints
• Fuzzy linear systems of the form \(A_{1}x+b_{1}=A_{2}x+b_{2}\)
• Option pricing: A simplified approach

This page was built for publication: The solution of fuzzy linear systems by nonlinear programming: a financial application