Compound Option Pricing under Fuzzy Environment

被引：108
|
作者：
Wang, Xiandong [1 ,2 ]
He, Jianmin [2 ]
Li, Shouwei [2 ]
机构：
[1] Changzhou Inst Technol, Sch Sci, Changzhou 213002, Jiangsu, Peoples R China
[2] Southeast Univ, Sch Econ & Management, Nanjing 211189, Jiangsu, Peoples R China
来源：
JOURNAL OF APPLIED MATHEMATICS | 2014年
关键词：
BLACK-SCHOLES FORMULA; JUMP-DIFFUSION-MODEL; EUROPEAN OPTIONS; VALUATION; NUMBERS; AMERICAN; UNCERTAINTY; SETS;
D O I：
10.1155/2014/875319
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Considering the uncertainty of a financial market includes two aspects: risk and vagueness; in this paper, fuzzy sets theory is applied to model the imprecise input parameters (interest rate and volatility). We present the fuzzy price of compound option by fuzzing the interest and volatility in Geske's compound option pricing formula. For each alpha, the alpha-level set of fuzzy prices is obtained according to the fuzzy arithmetics and the definition of fuzzy-valued function. We apply a defuzzification method based on crisp possibilistic mean values of the fuzzy interest rate and fuzzy volatility to obtain the crisp possibilistic mean value of compound option price. Finally, we present a numerical analysis to illustrate the compound option pricing under fuzzy environment.
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页数：9
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