Figa-Talamanca, Gianna; Guerra, Maria Letizia - In: Czech Journal of Economics and Finance (Finance a uver) 62 (2012) 2, pp. 162-179
The present study analyzes the extra insights that option pricing models may achieve when uncertainty about parameters is modeled through fuzzy numbers. Specifically, the authors consider the Heston stochastic volatility model, which assumes that stock price changes and their instantaneous...