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Computing option price for Levy process with fuzzy parameters

Nowak, Piotr; Romaniuk, Maciej - In: European journal of operational research : EJOR 201 (2010) 1, pp. 206-210

Persistent link: https://www.econbiz.de/10003975446

The double exponential jump diffusion model for pricing European options under fuzzy environments

Zhang, Li-Hua; Zhang, Wei-guo; Xiao, Wei-Lin - In: Economic modelling 29 (2012) 3, pp. 780-786

Persistent link: https://www.econbiz.de/10009545516

Options pricing with time changed Lévy processes under imprecise information

Feng, Zhi-Yuan; Cheng, Johnson T.-S.; Liu, Yu-Hong; … - In: Fuzzy optimization and decision making : a journal of … 14 (2015) 1, pp. 97-119

Persistent link: https://www.econbiz.de/10011313098

A discrete-time European options model under uncertainty in financial engineering

Yoshida, Yuji - In: Multi-objective programming and goal programming : …, (pp. 415-420). 2003

Persistent link: https://www.econbiz.de/10002006670

Pricing Geometric Asian Options Under Fuzzy Stochastic Environment

Ming, Lei - 2015

Due to the uncertainty in reality consists of randomness and fuzziness, we employ stochastic analysis and fuzzy set theory to explore the pricing of geometric Asian options. In the fuzzy stochastic world, the price of the underlying asset is assumed to follow a fuzzy stochastic process of which...

Persistent link: https://www.econbiz.de/10013014922