Compound Option Pricing under Fuzzy Environment
نویسندگان
چکیده
منابع مشابه
European option pricing model in a stochastic and fuzzy environment
The primary goal of this paper is to price European options in the Merton’s framework with underlying assets following jump-diffusion using fuzzy set theory. Owing to the vague fluctuation of the real financial market, the average jump rate and jump sizes cannot be recorded or collected accurately. So the main idea of this paper is to model the rate as a triangular fuzzy number and jump sizes a...
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics
سال: 2014
ISSN: 1110-757X,1687-0042
DOI: 10.1155/2014/875319