Pricing Currency Option Based on the Extension Principle and Defuzzification via Weighting Parameter Identification
نویسندگان
چکیده
منابع مشابه
Pricing Currency Option Based on the Extension Principle and Defuzzification via Weighting Parameter Identification
We present a fuzzy version of theGarman-Kohlhagen (FG-K) formula for pricing European currency option based on the extension principle. In order to keep consistent with the real market, we assume that the interest rate, the spot exchange rate, and the volatility are fuzzy numbers in the FG-K formula. The conditions of a basic proposition about the fuzzy-valued functions of fuzzy subsets are mod...
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics
سال: 2013
ISSN: 1110-757X,1687-0042
DOI: 10.1155/2013/623945