Data di Pubblicazione:
2007
Citazione:
Option pricing in the presence of uncertainty / Muzzioli, Silvia; H., Reynaerts. - STAMPA. - 36:(2007), pp. 275-301. [10.1007/978-3-540-36247-0_11]
Abstract:
In this chapter we investigate the derivation of the European option price in the Cox-Ross-Rubinstein binomial model in the presence of uncertainty on the volatility of the underlying asset. We propose two different approaches to the issue that concentrate on the fuzzification of one or both the two jump factors.
Tipologia CRIS:
Capitolo/Saggio
Keywords:
option pricing; fuzzy sets
Elenco autori:
Muzzioli, Silvia; H., Reynaerts
Link alla scheda completa:
Titolo del libro:
Perception-based Data Mining and Decision Making in Economics and Finance
Pubblicato in: