文章基本信息

标题：FUZZY RANDOM EUROPEAN CALL OPTION PRICING MODEL
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作者：SHUXIA LIU ; ENFENG LIU LIMING HUANG
期刊名称：Journal of Theoretical and Applied Information Technology
印刷版ISSN：1992-8645
电子版ISSN：1817-3195
出版年度：2013
卷号：48
期号：2
页码：1003-1007
出版社：Journal of Theoretical and Applied
摘要：The valuation of an option is importance topic in finance. The classical option pricing models depend on the stochastic calculus to obtain some results. In practice, there are some fuzzy and imprecise factors in stock market. Fuzzy random theory may be an efficient tool to tackle with uncertainty. The paper presents the fuzzy random option pricing models, in which the prices of stocks are taken as fuzzy random variables. Moreover, in order to make decision better for the investor, the expected value of option price is derived. Finally, empirical analysis are given to demonstrate the idea how to calculate option value with fuzzy random stock price
关键词：European Option; Option; Option Pricing;Fuzzy Variable; Fuzzy Random Variables