PRICING STOCK OPTIONS USING BLACK-SCHOLES AND FUZZY SETS

被引：1

作者：

Buckley, James J. ^{[1
]}

Eslami, Esfandiar ^{[2
,3
]}

机构：

[1] Univ Alabama Birmingham, Dept Math, Birmingham, AL 35294 USA

[2] Shahid Bahonar Univ Kerman, Ctr Excellence Fuzzy Syst & Applicat, Kerman, Iran

[3] Inst Studies Theoret Phys & Math IPM, Tehran, Iran

来源：

NEW MATHEMATICS AND NATURAL COMPUTATION | 2008年 / 4卷 / 02期

关键词：

Pricing European options; Black-Scholes; fuzzy numbers;

D O I：

10.1142/S1793005708001008

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We use the basic Black-Scholes equation for pricing European stock options but we allow some of the parameters in the model to be uncertain and we model this uncertainty using fuzzy numbers. We compute the fuzzy number for the call value of option with and without uncertain dividends. This fuzzy set displays the uncertainty in the option's value due to the uncertainty in the input values to the model. We also correct an error in a recent paper which also fuzzified the Black-Scholes equation.

引用

页码：165 / 176

页数：12

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