Option pricing formulas for generalized fuzzy stock model | Zendy

Cuilian You | Zendy; Le Bo | Zendy

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Option pricing formulas for generalized fuzzy stock model

Author(s) -

Cuilian You,

Le Bo

Publication year - 2018

Publication title -

journal of industrial and management optimization

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.325

H-Index - 32

eISSN - 1553-166X

pISSN - 1547-5816

DOI - 10.3934/jimo.2018158

Subject(s) - finite difference methods for option pricing , monte carlo methods for option pricing , fuzzy logic , credibility , valuation of options , trinomial tree , stock (firearms) , mathematical economics , econometrics , credibility theory , computer science , financial economics , rational pricing , binomial options pricing model , economics , mathematics , capital asset pricing model , artificial intelligence , philosophy , mechanical engineering , epistemology , engineering

Fuzzy stock model has been studied by many scholars in recent years, in which option pricing problem is the most important part. In this paper, we studied option pricing for a new generalized fuzzy stock model. Based on credibility theory, pricing formulas of European option and American option were obtained.

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