A multiperiod binomial model for pricing options in a vague world

DOI10.1016/S0165-1889(03)00060-5zbMATH Open1179.91245OpenAlexW2088313916MaRDI QIDQ951501FDOQ951501

Authors: Silvia Muzzioli, Costanza Torricelli 

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(03)00060-5

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zbMATH Keywords

fuzzy setsoptionspricingevidence theory

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Theory of fuzzy sets, etc. (03E72) Financial applications of other theories (91G80)

Cites Work

• Fuzzy sets and systems. Theory and applications
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• Upper and Lower Probabilities Induced by a Multivalued Mapping
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• Option pricing: A simplified approach
• A new approach for defuzzification
• Defuzzification: criteria and classification
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Fuzzy measures and asset prices: accounting for information ambiguity
• Title not available (Why is that?)

Cited In (23)

• \textit{SMART-or} and \textit{SMART-and} fuzzy average operators: a generalized proposal
• A vague multidimensional dependency structure: conditional versus unconditional fuzzy copula models
• The total return swap pricing model under fuzzy random environments
• Option implied ambiguity and its information content: evidence from the subprime crisis
• Pricing and hedging in a single period market with random interval valued assets
• Option replication with transaction cost under Knightian uncertainty
• Optimization of stock trading with additional information by limit order book
• Generalised soft binomial American real option pricing model (fuzzy-stochastic approach)
• Application of gray systems and fuzzy sets in combination with real options theory in project portfolio management
• Pricing a contingent claim with random interval or fuzzy random payoff in one-period setting
• Choquet-based European option pricing with stochastic (and fixed) strikes
• Solving parametric fuzzy systems of linear equations by a nonlinear programming method
• A jump-diffusion model for option pricing under fuzzy environments
• Pricing currency option based on the extension principle and defuzzification via weighting parameter identification
• Construction of the bino-trinomial method using the fuzzy set approach for option pricing
• New definitions of mean value and variance of fuzzy numbers: an application to the pricing of life insurance policies and real options
• On the option pricing for a generalization of the binomial model
• The solution of fuzzy linear systems by nonlinear programming: a financial application
• American option pricing with imprecise risk-neutral probabilities
• Pricing of minimum guarantees in life insurance contracts with fuzzy volatility
• A VALUATION FORMULA FOR MULTI-ASSET, MULTI-PERIOD BINARIES IN A BLACK–SCHOLES ECONOMY
• A binomial tree approach to pricing vulnerable option in a vague world
• A comparison of fuzzy regression methods for the estimation of the implied volatility smile function

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