A multiperiod binomial model for pricing options in a vague world
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Cites work
- scientific article; zbMATH DE number 465666 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 913405 (Why is no real title available?)
- A new approach for defuzzification
- Defuzzification: criteria and classification
- Fuzzy measures and asset prices: accounting for information ambiguity
- Fuzzy sets and systems. Theory and applications
- Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
- Option pricing: A simplified approach
- Upper and Lower Probabilities Induced by a Multivalued Mapping
Cited in
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- 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
- Generalised soft binomial American real option pricing model (fuzzy-stochastic approach)
- Optimization of stock trading with additional information by limit order book
- 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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