Lee, Cheng; Tzeng, Gwo-Hshiung; Wang, Shin-Yun - In: Review of Quantitative Finance and Accounting 25 (2005) 3, pp. 255-275
This paper applies fuzzy set theory to the Cox, Ross and Rubinstein (CRR) model to set up the fuzzy binomial option … or hedge. Because of the CRR model can provide only theoretical reference values for a generalized CRR model in this … generalized CRR model. Copyright Springer Science + Business Media, Inc. 2005 …