We apply fuzzy set theory to the American put option valuation and extend the fuzzy option pricing model by introducing riskless interest rate and volatility as ...
Abstract—Riskless interest rate and volatility are two important variables in option pricing model, but are hard to be estimated precisely.
Fuzziness is used to describe these variables in option pricing model by introducing riskless interest rate and volatility as two trapezoidal fuzzy numbers ...
We apply fuzzy set theory to the American put option valuation and extend the fuzzy option pricing model by introducing riskless interest rate and volatility as ...
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Mar 23, 2023 · Bibliographic details on The Valuation of American Put Option Based on Fuzzy Techniques.
Both randomness and fuzziness should be considered when there is uncertainty in the market. In this paper the volatility of stock price was replaced by ...
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Jan 10, 2024 · Applying the binomial option pricing model, we illustrate a numerical example how to valuate the American put option based on fuzzy techniques.
... fuzzy measures, which are based on Possibility, Necessity and Credibility, are demonstrated particularly. We consider the optimal expected price of the American.
Under these assumptions, the European call and put option price will turn into the fuzzy numbers, and the extension principle will be invoked to generate the ...
Nov 1, 2008 · The empirical research results indicate that fuzzy pricing model is better than precision pricing model at the low strike prices, and the low ...