Application of fuzzy Malliavin calculus in hedging fixed strike lookback option
In this paper, we develop a Malliavin calculus approach for hedging a fixed strike lookback option in fuzzy space. Due to the uncertainty in financial markets, it is not accurate to describe the problems of option pricing and hedging in terms of randomness alone. We consider a fuzzy pricing model by...
| Published in: | AIMS Mathematics |
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| Main Authors: | , , , |
| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2023-02-01
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| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2023461?viewType=HTML |