Fuzzy Option Pricing Model
碩士 === 朝陽科技大學 === 財務金融系碩士班 === 90 === Option is a tool that investors often use to arbitrage or hedge. However, either Black-Scholes model or CRR model can only provide a theoretical reference value. This paper applies fuzzy set to the CRR model. It is expected that the fuzzy volatility, instead of...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/13974811463039935724 |
| Summary: | 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 90 === Option is a tool that investors often use to arbitrage or hedge. However, either Black-Scholes model or CRR model can only provide a theoretical reference value. This paper applies fuzzy set to the CRR model. It is expected that the fuzzy volatility, instead of the crisp one as in conventional CRR model, can provide reasonable ranges and corresponding memberships of option prices. As a result, investors with various risk preferences can interpret the optimal differently.
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