American option pricing in fuzzy random environment

被引：0
|
作者：
Liu, Shuxia [1 ]
Liu, Enfeng [1 ]
Huang, Liming [1 ]
Chai, Zhaohua [1 ]
Chang, YuJing [1 ]
机构：
[1] School of Business Administration, Hebei Normal University of Science and Technology, QinHuangDao 066000, Hebei, China
来源：
International Journal of Applied Mathematics and Statistics | 2013年 / 45卷 / 15期
关键词：
American options - American put option - Calculation formula - Fuzzy random environment - Fuzzy random variable - Fuzzy variable - Option pricing - Option pricing methodology;
D O I：
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中图分类号：
学科分类号：
摘要：
This paper considers the problem of pricing an American put option in fuzzy random environment; Stock price is characterized as the fuzzy random variable. Basic mathematical models of option pricing with fuzziness and randomness are established. The fundamental calculation formulas of American call put and call options with fuzzy random theory are proposed, respectively. We derive the fuzzy random expected value of option. Finally, the validity of this fuzzy random approach to option pricing methodology has been highlighted with an illustrative numerical example. © 2013 by CESER Publications.
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页码：111 / 118
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