Paper Information

Journal:   IRANIAN JOURNAL OF FUZZY SYSTEMS   OCTOBER 2007 , Volume 4 , Number 2; Page(s) 1 To 14.
 
Paper: 

PRICING STOCK OPTIONS USING FUZZY SETS

 
 
Author(s):  BUCKLEY J.J., ESLAMI E.
 
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Abstract: 
We use the basic binomial option pricing method but allow some or all the parameters in the model to be uncertain and model this uncertainty using fuzzy numbers. We show that with the fuzzy model we can, with a reasonably small number of steps, consider almost all possible future stock prices; whereas the crisp model can consider only n + 1 prices after n steps.
 
Keyword(s): PRICING OPTIONS, BINOMIAL METHODS, FUZZY NUMBERS
 
References: 
 
  pdf-File tarjomyar Persian Abstract Yearly Visit 162
 
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