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

DOI10.1016/J.EJOR.2005.10.055MaRDI QIDQ856312zbMATHOpenAlexFDO

Authors Silvia Muzzioli, Huguette Reynaerts

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

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

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Cites work

• scientific article; zbMATH DE number 3281219 (Why is no real title available?)
• A multiperiod binomial model for pricing options in a vague world
• Derived eigenvalues of symmetric matrices, with applications to distance geometry
• Fuzzy linear systems of the form \(A_{1}x+b_{1}=A_{2}x+b_{2}\)
• Fuzzy sets and systems. Theory and applications
• Fuzzy sets as a basis for a theory of possibility
• On the pricing of contingent claims under constraints
• Option pricing: A simplified approach
• Solving systems of linear fuzzy equations
• The pricing of options and corporate liabilities

Cited in

(18)

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

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