A fuzzy decision making model of American option pricing in financial engineering.

被引：0
|
作者：
Yoshida, Y [1 ]
机构：
[1] Univ Kitakyushu, Fac Econ & Business Adm, Kitakyushu, Fukuoka 8028577, Japan
来源：
PROCEEDINGS OF THE 6TH JOINT CONFERENCE ON INFORMATION SCIENCES | 2002年
关键词：
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
A continuous-time mathematical model for American put option with uncertainty. is presented and the randomness and fuzziness are are evaluated by both probabilistic expectation and fuzzy expectation defined by a possibility measure from the viewpoint of fuzzy expectation, taking account of decision-maker's subjective judgment. An optimality equation for the optimal stopping problem, in a fuzzy stochastic process is derived and an optimal exercise time is given for the American put option under.. a reasonable assumption. The writer's/seller's permissible range of optimal expected price in, the American put option are presented and the meaning and properties of. the optimal expected prices are discussed in a numerical example.
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页码：133 / 136
页数：4
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