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.
G. Figà-Talamanca, M.L.Guerra, L.Sorini, L.Stefanini (2010). Uncertain parameters as fuzzy numbers in option pricing models. OSTRAWA : VSB-TU.
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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