Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options

DOI10.1016/J.AMC.2006.07.015MaRDI QIDQ870144zbMATH OpenOpenAlexFDO

Authors Hsien-Chung Wu

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

zbMATH Keywords

European optionsfuzzy numbersBlack-Scholes formulafinancial marketput-call parity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Theory of fuzzy sets, etc. (03E72)

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Cites work

• scientific article; zbMATH DE number 417962 (Why is no real title available?)
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 3205524 (Why is no real title available?)
• A unified approach to fuzzy random variables
• Application of the fuzzy-stochastic methodolgy to appraising the firm value as a European call option
• European option pricing under fuzzy environments
• Fuzziness in valuing financial instruments by certainty equivalents.
• Fuzzy random variables
• Fuzzy sets
• Integrals of set-valued functions
• Pricing European options based on the fuzzy pattern of Black-Scholes formula.
• Risk Aversion in the Small and in the Large
• Soft computing in financial engineering
• The concept of a linguistic variable and its application to approximate reasoning. III
• The pricing of options and corporate liabilities
• The valuation of European options in uncertain environment

Cited in

(34)

• 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
• A fuzzy approach to option pricing in a Lévy process setting
• 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
• PRICING STOCK OPTIONS USING BLACK-SCHOLES AND FUZZY SETS
• Option replication with transaction cost under Knightian uncertainty
• Option price sensitivities through fuzzy numbers
• Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with \(w\) sources of risk in fuzzy environment
• On theoretical pricing of options with fuzzy estimators
• 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
• An empirical assestment of fuzzy Black and Scholes pricing option model in Spanish stock option market
• European option pricing under fuzzy environments
• Analysis on fuzzy risk of landfall typhoon in Zhejiang province of China
• 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
• Measuring the manufacturing process yield based on fuzzy data
• A geometric Lévy model for n-fold compound option pricing in a fuzzy framework
• Pricing European options based on the fuzzy pattern of Black-Scholes formula.
• 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
• 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
• Fuzzy pricing of american options on stocks with known dividends and its algorithm
• A comparison of fuzzy regression methods for the estimation of the implied volatility smile function

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