文章基本信息

标题：Recent Developments in Fuzzy Sets Approach in Option Pricing
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作者：Srimantoorao S. Appadoo ; Aerambamoorthy Thavaneswaran
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2013
卷号：3
期号：2
页码：312-322
DOI：10.4236/jmf.2013.32031
出版社：Scientific Research Publishing
摘要：Recently there has been growing interest in fuzzy option pricing. Carlsson and Fuller [1] were the first to study the fuzzy real options and Thavaneswaran et al. [2] demonstrated the superiority of the fuzzy forecasts and then derived the membership function for the European call price by fuzzifying the interest rate, volatility and the initial value of the stock price. In this paper, we discuss recent developments in fuzzy option pricing based on Black-Scholes models. Fuzzy coefficient Black-Scholes partial differential equations (PDE) are derived. Membership function of the call price is given. The asset-or-nothing option by fuzzifying the maturity value of the stock price using adaptive fuzzy numbers is also discussed in some detail.
关键词：Membership Function; Fuzzy Coefficient; Black-Scholes Partial Differential Equations (PDE); Asset-or-Nothing Option; Fuzzy Real Options