منابع مشابه
Theory of Rational Option Pricing
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متن کاملModel Construction of Option Pricing Based on Fuzzy Theory
Option pricing is a tool that investors often use for the purpose of arbitrage or hedging. However, both the BlackScholes model and the CRR model can only provide a theoretical reference value. The volatility in the CRR model cannot always appear in the precise sense because the financial markets fluctuate from time to time. Hence, the fuzzy volatility is naturally to be considered. The main pu...
متن کاملEuropean 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...
متن کاملOption Pricing Formula for Fuzzy Financial Market
The option pricing problem is one of central contents in modern finance. In this paper, European option pricing formula is formulated for fuzzy financial market and some mathematical properties of them are discussed. This formula may be regarded as the fuzzy counterpart of Black-Scholes option pricing formula. In addition, some illustrative examples are also documented with MATLAB codes. c ©200...
متن کاملA New Stock Model for Option Pricing in Uncertain Environment
The option-pricing problem is always an important part in modern finance. Assuming that the stock diffusion is a constant, some literature has introduced many stock models and given corresponding option pricing formulas within the framework of the uncertainty theory. In this paper, we propose a new stock model with uncertain stock diffusion for uncertain markets. Some option pricing formulas on...
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ژورنال
عنوان ژورنال: Energy Procedia
سال: 2011
ISSN: 1876-6102
DOI: 10.1016/j.egypro.2011.12.316