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...

On the bases of dynamic system theory and fuzzy clustering methods for attractors of options implied volatility on market indexes S&P 500, NASDAQ 100, S&P 100 was researched. Results of researches stay that entropy of implied volatility fuzzy clustering equal from 0.6477 to 0.7986. Implied...

The valuing of a firm equity as a call option is a crucial problem in financial decision-making. There are two basic aspects that are studied; contingent claim features (payoff functions) and risk (stochastic process of underlying assets). However, non-preciseness (vagueness, uncertainty) of input...

To have a means to have the possibility for a certain period to either choose for or against making an invetsment decision, without binding oneself up front. The real option rule is that one should invest today only if the net present value is high enough to compensate for giving up the value of...