Black-Scholes Fuzzy Numbers as Indexes of Performance
We use the set of propositions of some previous papers to define a fuzzy version of the Black-Scholes value where the risk free instantaneous interest intensity, the volatility and the initial stock price are fuzzy numbers whose parameters are built with statistical financial data. With our Black-Sc...
| Published in: | Applied Computational Intelligence and Soft Computing |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2010-01-01
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| Online Access: | http://dx.doi.org/10.1155/2010/607214 |