The Fuzzy Jump-Diffusion Model to Pricing European Vulnerable Options

被引：0

作者：

Xu, Weijun ^{[2
]}

Peng, Xiaolong ^{[3
]}

Xiao, Weilin ^{[1
]}

机构：

[1] Zhejiang Univ, Sch Management, Hangzhou 310058, Zhejiang, Peoples R China

[2] S China Univ Technol, Inst Govt Decis Making & Performance Evaluat, Sch Business Adm, Guangzhou 510641, Guangdong, Peoples R China

[3] S China Univ Technol, Sch Business Adm, Guangzhou 510641, Guangdong, Peoples R China

来源：

INTERNATIONAL JOURNAL OF FUZZY SYSTEMS | 2013年 / 15卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Fuzzy number; european vulnerable options; jump-diffusion process; secant method; BLACK-SCHOLES FORMULA; DEFAULT RISK; CREDIT RISK; ENVIRONMENTS; NUMBERS; SECURITIES; VOLATILITY; VALUATION; AMERICAN; IMPACT;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Owing to the fluctuation of financial markets from time to time, some parameters, such as the interest rate, volatility, cannot be precisely described. Under the assumption that the risk-free rate, the volatility, and the average jump intensity are fuzzy numbers, this paper presents the jump-diffusion approach to price vulnerable options in fuzzy environments. We also provide the crisp possibilistic mean jump-diffusion model to price European vulnerable call options and the secant method to obtain the belief degree. Finally, the performance of our model and the algorithm is illustrated with some numerical examples.

引用

页码：317 / 325

页数：9

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