PRICING STOCK OPTIONS USING FUZZY SETS
نویسندگان
1 Department of Mathematics, University of Alabama at Birmingham, Birmingham, Al 35209, USA
2 Department of Mathematics, Shahid Bahonar University of Kerman, Kerman and Institute for Studies in Theoretical Physics and Mathematics(IPM), Tehran, Iran
doi
10.22111/ijfs.2007.365چکیده
We use the basic binomial option pricing method but allow someor all the parameters in the model to be uncertain and model this uncertaintyusing fuzzy numbers. We show that with the fuzzy model we can, with areasonably small number of steps, consider almost all possible future stockprices; whereas the crisp model can consider only n + 1 prices after n steps.
