A jump-diffusion model for option pricing under fuzzy environments

Author:

Xu Weidong,Wu Chongfeng,Xu Weijun,Li Hongyi

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference38 articles.

1. Introduction to Interval Computation;Alefeld,1983

2. Estimating a fuzzy term structure of interest rates using fuzzy regression techniques;Andrés;European Journal of Operational Research,2004

3. The pricing of options and corporate liabilities;Black;Journal of Political Economics,1973

4. On possibilistic mean value and variance of fuzzy numbers;Carlsson;Fuzzy Sets and Systems,2001

5. Time-changed Lévy processes and option pricing;Carr;Journal of Financial Economics,2004

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