Fuzzy pricing of European options based on Liu process
Vol 7, Issue 6, 2024
VIEWS - 752 (Abstract)
Abstract
Firstly, based on the generalized stock model of the standard Liu process, the corresponding option pricing formula was derived. Then,
this article studied the generalized multi factor pricing model and derived the corresponding European option pricing formula. In order to make the research results more specific, this article provides specific examples of European options and corresponding chart analysis
This research achievement not only enriches the theory of option pricing, but also provides new methods and basis for option pricing in actual financial markets.
Keywords
Full Text:
PDFReferences
[1] Black F, Scholes M. The pricing of options and corporate liabilities[J]. Journal of political economy, 1973, 81(3): 637-654.
[2] Zadeh L A. Fuzzy sets[J]. Information and control, 1965, 8(3): 338-353.
[3] Zadeh L A. Fuzzy sets as a basis for a theory of possibility[J]. Fuzzy sets and systems, 1978, 1(1): 328-331.
[4] Liu B, Liu Y K. Expected value of fuzzy variable and fuzzy expected value models[J]. IEEE transactions on Fuzzy Systems, 2002, 10(4): 445-450.
DOI: https://doi.org/10.18686/ijmss.v7i6.7373
Refbacks
- There are currently no refbacks.
This site is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.