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 pricing model (OPM). The model can provide reasonable ranges of option prices, which many investors can use it for arbitrage or hedge. Because of the CRR model can provide only...
