Data di Pubblicazione:
2006
Citazione:
Fuzzy binary tree model for European options / Muzzioli, Silvia; H., Reynaerts. - STAMPA. - 8:(2006), 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.
Tipologia CRIS:
Capitolo/Saggio
Keywords:
dual fuzzy linear systems; option pricing; bynary tree
Elenco autori:
Muzzioli, Silvia; H., Reynaerts
Link alla scheda completa:
Titolo del libro:
Progress in Industrial Mathematics at ECMI 2004