Abstract: A fuzzy set approach is applied to price American put options on Euribor futures in this paper. Since volatility in any option pricing model ...
Jan 10, 2024 · The empirical research results indicate that fuzzy pricing model is better than precision pricing model at the low strike prices, and the low ...
A fuzzy set approach is applied to price American put options on Euribor futures in this paper. Since volatility in any option pricing model should be the.
We apply fuzzy set theory to the American put option valuation and extend the fuzzy ... A fuzzy set approach on pricing american put options on Euribor futures.
Fuzziness is used to describe these variables in option pricing model by introducing riskless interest rate and volatility as two trapezoidal fuzzy numbers ...
7 days ago · A fuzzy set approach is applied to price American put options on Euribor futures in this paper. Since volatility in any option pricing model ...
May 7, 2024 · Xcaojian Yu et al. [18] have performed empirical research on pricing. American put options on 3 - month Euribor futures based on a fuzzy set.
Fuzzy set theory (FST) has provided tools for option pricing when modeling nonprobabilistic uncertainty, such as fuzzy measures, fuzzy numbers, or fuzzy ...
Missing: Euribor | Show results with:Euribor
Apr 20, 2023 · Abstract. This paper makes a bibliographical analysis of fuzzy set theory (FST) contributions to option pricing with a fuzzy-random approach ...
Sep 21, 2007 · The aim of this paper is to price an American option in a multiperiod binomial model, when there is uncertainty on the.