European option pricing under fuzzy environments

被引：44
|
作者：
Wu, HC [1 ]
机构：
[1] Natl Kaohsiung Normal Univ, Dept Math, Kaohsiung 802, Taiwan
来源：
INTERNATIONAL JOURNAL OF INTELLIGENT SYSTEMS | 2005年 / 20卷 / 01期
关键词：
D O I：
10.1002/int.20055
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
The application of fuzzy sets theory to the Black-Scholes formula is proposed in this article. Owing to the vague fluctuation of financial markets from time to Lime. the risk-free interest rate. volatility, and the price of underlying assets may occur imprecisely. In this case, it is natural to consider the fuzzy interest rate, fuzzy volatility, and fuzzy stock price. The form of "Resolution Identity" in fuzzy sets theory will be invoked to propose the fuzzy price of European options. Under these assumptions, the European option price at time t will turn into a fuzzy number. This will allow a financial analyst to choose the European price at his (her) acceptable degree of belief. To obtain the belief degree, the optimization problems have to be solved. (C) 2005 Wiley Periodicals, Inc.
引用
收藏
页码：89 / 102
页数：14
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