Option Pricing Based on Binary Tree Model with Discrete Fuzzy Number Factors

被引：1
|
作者：
Mao, Qianqian [1 ]
Wang, Guixiang [2 ]
机构：
[1] Hangzhou Dianzi Univ, Hangzhou, Peoples R China
[2] Hangzhou Dianzi Univ, Inst Operat Res & Cybernet, Hangzhou 310018, Peoples R China
来源：
PROCEEDINGS OF 2021 2ND INTERNATIONAL CONFERENCE ON ARTIFICIAL INTELLIGENCE AND INFORMATION SYSTEMS (ICAIIS '21) | 2021年
关键词：
Discrete fuzzy number; binary tree model; stock prices; pricing of European call options;
D O I：
10.1145/3469213.3472791
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
In this paper, the problem of European call option pricing is studied based on binary tree model in which the rising and falling factors are fuzzy numbers. We transform the binary tree model - DFN-BT-Model with discrete fuzzy number rising and falling factors into a classical multi-tree model. A calculation formula is given to solve the option pricing in real number form based on the classical multiary tree model. An example is given to demonstrate the application of the proposed method.
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页数：5
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