Compound Option Pricing under Fuzzy Environment
Considering the uncertainty of a financial market includes two aspects: risk and vagueness; in this paper, fuzzy sets theory is applied to model the imprecise input parameters (interest rate and volatility). We present the fuzzy price of compound option by fuzzing the interest and volatility in Gesk...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
Hindawi Limited
2014-01-01
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Series: | Journal of Applied Mathematics |
Online Access: | http://dx.doi.org/10.1155/2014/875319 |