In this paper we show that the so called fuzzy--stochastic approach in financial models is an efficient way to handle the uncertainty about parameters. We show the possible applications in the option pricing models with a constant and stochastic volatility. Fuzzy numbers, extension principle, sensitivity analysis, fuzzy stochastic approach in financial models, option pricing models.

Uncertain parameters as fuzzy numbers in option pricing models

GUERRA, MARIA LETIZIA;
2010

Abstract

In this paper we show that the so called fuzzy--stochastic approach in financial models is an efficient way to handle the uncertainty about parameters. We show the possible applications in the option pricing models with a constant and stochastic volatility. Fuzzy numbers, extension principle, sensitivity analysis, fuzzy stochastic approach in financial models, option pricing models.
Proceedings of the 47th Meeting of the Euro Working Group on Financial Modelling
63
72
G. Figà-Talamanca; M.L.Guerra; L.Sorini; L.Stefanini
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11585/98313
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