EXPECTED PAYOFF OF TRADING STRATEGIES INVOLVING EUROPEAN OPTIONS FOR FUZZY FINANCIAL MARKET
نویسندگان
1 School of Economics and Management, Beihang University, Beijing 100191, China
2 The State Key Laboratory of Rail Traffic Control and Safety, Beijing Jiaotong University, Beijing 100044, China
doi
10.22111/ijfs.2011.288چکیده
Uncertainty inherent in the financial market was usually consid- ered to be random. However, randomness is only one special type of uncer- tainty and appropriate when describing objective information. For describing subjective information it is preferred to assume that uncertainty is fuzzy. This paper defines the expected payoof trading strategies in a fuzzy financial market within the framework of credibility theory. In addition, a computable integral form is obtained for expected payoof each strategy.
