Publication Date:
2007
Short description:
Option pricing in the presence of uncertainty / Muzzioli, S., H., R. (STUDIES IN COMPUTATIONAL INTELLIGENCE). - In: Perception-based Data Mining and Decision Making in Economics and Finance / BATYRSHIN; I.; KACPRZYK; J.; SHEREMETOV; L.; ZADEH; L.A. ; [a cura di] Ildar Batyrshin, Janusz Kacprzyk, Leonid Sheremetov, Lotfi A. Zadeh. - STAMPA. - [s.l], 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.
Iris type:
Capitolo/Saggio
Keywords:
option pricing; fuzzy sets
List of contributors:
Muzzioli, Silvia; H., Reynaerts
Book title:
Perception-based Data Mining and Decision Making in Economics and Finance
Published in: