N-Fold Compound Option Fuzzy Pricing Based on the Fractional Brownian Motion-Reference-Cited by-同舟云学术

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N-Fold Compound Option Fuzzy Pricing Based on the Fractional Brownian Motion

Published:2022-05-09 Issue:6 Volume:24 Page:2767-2782
ISSN:1562-2479
Container-title:International Journal of Fuzzy Systems
language:en
Short-container-title:Int. J. Fuzzy Syst.

Author:

Zhao Pingping,Wang Tong,Xiang Kaili,Chen Peimin^ORCID

Funder

the Ministry of Education in China Project of Humanities and Social Science

the Natural Science Foundation of Gansu Province

Publisher

Springer Science and Business Media LLC

Subject

Artificial Intelligence,Computational Theory and Mathematics,Theoretical Computer Science,Software

Link

https://link.springer.com/content/pdf/10.1007/s40815-022-01283-2.pdf

Reference27 articles.

1. Black, F., Scholes, M.S.: The pricing of options and corporate liabilities. J. Polit. Econ. 81, 637–659 (1973)

2. Geske, R.: The valuation of compound options. J. Financ. Econ. 7(1), 63–81 (1979)

3. Gukhal, C.R.: The compound option approach to American options on jump-diffusions. J. Econ. Dyn. Control 28(10), 2055–2074 (2004)

4. Carr, P.: The valuation of sequential exchange opportunities. J. Financ. 43(5), 1235–1256 (1988)

5. Lim, D.A.H., Lee, S., Kim, G.: Effecient pricing of Bermudan options using recombining quadratures. J. Comput. Appl. Math. 271(9), 195–205 (2014)

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1. A systematic review of the interactions of fuzzy set theory and option pricing;Expert Systems with Applications;2023-08

2. A Fuzzy-Random Extension of Jamshidian’s Bond Option Pricing Model and Compatible One-Factor Term Structure Models;Axioms;2023-07-06

3. Fuzzy Random Option Pricing in Continuous Time: A Systematic Review and an Extension of Vasicek’s Equilibrium Model of the Term Structure;Mathematics;2023-05-25

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