OPTION PRICING FORMULAS FOR GENERALIZED FUZZY STOCK MODEL

被引：5
|
作者：
You, Cuilian [1 ]
Bo, Le [1 ]
机构：
[1] Hebei Univ, Coll Math & Informat Sci, Baoding 071002, Peoples R China
来源：
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2020年 / 16卷 / 01期
关键词：
Liu process; fuzzy integral; fuzzy differential equation; option pricing;
D O I：
10.3934/jimo.2018158
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
Fuzzy stock model has been studied by many scholars in recent years, in which option pricing problem is the most important part. In this paper, we studied option pricing for a new generalized fuzzy stock model. Based on credibility theory, pricing formulas of European option and American option were obtained.
引用
收藏
页码：387 / 396
页数：10
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