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.File in questo prodotto:
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