Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options
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Publication:870144
DOI10.1016/J.AMC.2006.07.015zbMATH Open1283.91184OpenAlexW2054804749MaRDI QIDQ870144FDOQ870144
Publication date: 12 March 2007
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2006.07.015
Cites Work
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- Fuzzy sets
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- The valuation of European options in uncertain environment
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- Application of the fuzzy-stochastic methodolgy to appraising the firm value as a European call option
- Soft computing in financial engineering
- Fuzziness in valuing financial instruments by certainty equivalents.
- European option pricing under fuzzy environments
Cited In (29)
- Interval pricing study of deposit insurance in China
- Simulation for queueing systems under fuzziness
- A new default probability calculation formula and its application under uncertain environments
- The total return swap pricing model under fuzzy random environments
- Practical study on the fuzzy risk of flood disasters
- Pricing European call options with interval-valued volatility and interest rate
- Option replication with transaction cost under Knightian uncertainty
- Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with \(w\) sources of risk in fuzzy environment
- Fuzzy pricing of American options on stocks with known dividends and its algorithm
- Option price sensitivities through fuzzy numbers
- Generalised soft binomial American real option pricing model (fuzzy-stochastic approach)
- A European option pricing model in a stochastic and fuzzy environment
- A jump-diffusion model for option pricing under fuzzy environments
- Analysis on fuzzy risk of landfall typhoon in Zhejiang province of China
- Measuring the manufacturing process yield based on fuzzy data
- Pricing currency option based on the extension principle and defuzzification via weighting parameter identification
- Pricing European options under uncertainty with application of Lévy processes and the minimal \(L^q\) equivalent martingale measure
- A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
- Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework
- Practical research on fuzzy risk of water resources in Jinhua City, China
- No-arbitrage theorem for multi-factor uncertain stock model with floating interest rate
- Generalized extension principle for non-normal fuzzy sets
- A reduced-form intensity-based model under fuzzy environments
- Sensitivity of option prices via fuzzy Malliavin calculus
- A fuzzy approach to option pricing in a Levy process setting
- Fuzzy optimization of option pricing model and its application in land expropriation
- The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options
- A study of Greek letters of currency option under uncertainty environments
- A comparison of fuzzy regression methods for the estimation of the implied volatility smile function
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