Publication Date:
2006
Short description:
Fuzzy binary tree model for European options / Muzzioli, S., H., R. - In: Progress in Industrial Mathematics at ECMI 2004 / A.DI BUCCHIANICO; R.M.M. MATTHEIJ; M.A. PELETIER. - STAMPA. - BERLIN : Springer Berlin Heidelberg, 2006. - ISBN 9783540280729. - pp. 437-441 [10.1007/3-540-28073-1_69]
abstract:
The derivation of the risk-neutral probabilities in a binary tree, in the presence of uncertainty on the underlying asset moves, boils down to the solution of dual fuzzy linear systems. The issue has previously been addressed and different solutions to the dual systems have been found. The aim of this paper is to apply a methodology which leads to a unique solution for the dual systems.
Iris type:
Capitolo/Saggio
Keywords:
dual fuzzy linear systems; option pricing; bynary tree
List of contributors:
Muzzioli, Silvia; H., Reynaerts
Book title:
Progress in Industrial Mathematics at ECMI 2004