Muzzioli, Silvia; Torricelli, Costanza - In: Fuzzy Economic Review VI (2001) 1, pp. 49-87
This paper sets up a one period model for pricing an option with a fuzzy payoff. The option is written on an underlying asset that has a fuzzy price at the end of the period, modelled by means of triangular fuzzy numbers. The pricing methodology used is the standard one for pricing derivatives,...