[HTML][HTML] Binary option pricing using fuzzy numbers
A binary option is a type of option where the payout is either fixed after the underlying stock
exceeds the predetermined threshold (or strike price) or is nothing at all. Traditional option …
exceeds the predetermined threshold (or strike price) or is nothing at all. Traditional option …
[HTML][HTML] On theoretical pricing of options with fuzzy estimators
In this paper we present an application of a new method of constructing fuzzy estimators for
the parameters of a given probability distribution function, using statistical data. This …
the parameters of a given probability distribution function, using statistical data. This …
[HTML][HTML] Option valuation model with adaptive fuzzy numbers
In this paper, we consider moment properties for a class of quadratic adaptive fuzzy
numbers defined in Dubois and Prade [D. Dubois, H. Prade, Fuzzy Sets and Systems …
numbers defined in Dubois and Prade [D. Dubois, H. Prade, Fuzzy Sets and Systems …
A semi-analytic valuation of American options under a two-state regime-switching economy
In this study, we develop a semi-analytic method to evaluate American options under a two-
state regime-switching economy. The two free boundaries corresponding to the states divide …
state regime-switching economy. The two free boundaries corresponding to the states divide …
Fuzzy EOQ model using possibilistic approach
Purpose–The purpose of this paper is to derive an economic order quantity (EOQ) for an
inventory control problem where the inventory carrying cost and the order cost are uncertain …
inventory control problem where the inventory carrying cost and the order cost are uncertain …
Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions
In the finance market, a short-term investment strategy is usually applied in portfolio
selection in order to reduce investment risk; however, the economy is uncertain and the …
selection in order to reduce investment risk; however, the economy is uncertain and the …
Numerical solution of American option pricing problem with volatility regimes
In this paper, we consider an alternative model for assessment of American call option with
stochastic features of the underlying asset price and volatility transition. The alteration in …
stochastic features of the underlying asset price and volatility transition. The alteration in …
Option pricing for jump diffussion model with random volatility
Purpose–Option pricing based on Black‐Scholes model is typically obtained under the
assumption that the volatility of the return is a constant. The purpose of this paper is to …
assumption that the volatility of the return is a constant. The purpose of this paper is to …
Pricing European call currency option based on fuzzy estimators
X Yu, H Sun, G Chen - Applied Mathematics, 2011 - journal.article2publish.com
In this paper we present an application of fuzzy estimators method to price European call
currency option. We make use of fuzzy estimators for the volatility of exchange rate which …
currency option. We make use of fuzzy estimators for the volatility of exchange rate which …
Option Pricing under Sign RCA-GARCH Models
J Górka - 2015 - repozytorium.umk.pl
After Black and Scholes's groundbreaking work, the literature concerning pricing options has
become a very important area of research. Numerous option valuation methods have been …
become a very important area of research. Numerous option valuation methods have been …