Fuzzy Optimization of Option Pricing Model and Its Application in Land Expropriation | Zendy

Aimin Heng | Zendy; Qian Chen | Zendy; Yingshuang Tan | Zendy

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Fuzzy Optimization of Option Pricing Model and Its Application in Land Expropriation

Author(s) -

Aimin Heng,

Qian Chen,

Yingshuang Tan

Publication year - 2014

Publication title -

journal of applied mathematics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.307

H-Index - 43

eISSN - 1687-0042

pISSN - 1110-757X

DOI - 10.1155/2014/635898

Subject(s) - fuzzy logic , expropriation , mathematical optimization , valuation of options , variance (accounting) , black–scholes model , fuzzy number , econometrics , computer science , measure (data warehouse) , economics , mathematics , fuzzy set , actuarial science , data mining , artificial intelligence , volatility (finance) , accounting , market economy

Option pricing is irreversible, fuzzy, and flexible. The fuzzy measure which is used for real option pricing is a useful supplement to the traditional real option pricing method. Based on the review of the concepts of the mean and variance of trapezoidal fuzzy number and the combination with the Carlsson-Fuller model, the trapezoidal fuzzy variable can be used to represent the current price of land expropriation and the sale price of land on the option day. Fuzzy Black-Scholes option pricing model can be constructed under fuzzy environment and problems also can be solved and discussed through numerical examples

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