PRICING STOCK OPTIONS USING FUZZY SETS

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BUCKLEY J.J.; ESLAMI E.

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Journal Paper

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Journal: Iranian Journal of Fuzzy Systems Year:2007 | Volume:4 | Issue:2 Page(s): 1-14

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Information Journal Paper

Title

PRICING STOCK OPTIONS USING FUZZY SETS

Author(s)

BUCKLEY J.J. | ESLAMI E. | Issue Writer Certificate

Keywords

PRICING OPTIONSQ2

BINOMIAL METHODSQ2

FUZZY NUMBERSQ2

Abstract

We use the basic binomial option pricing method but allow some or all the parameters in the model to be uncertain and model this uncertainty using FUZZY NUMBERS. We show that with the fuzzy model we can, with a reasonably small number of steps, consider almost all possible future stock prices; whereas the crisp model can consider only n + 1 prices after n steps.

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APA: Copy

BUCKLEY, J.J., & ESLAMI, E.. (2007). PRICING STOCK OPTIONS USING FUZZY SETS. IRANIAN JOURNAL OF FUZZY SYSTEMS, 4(2), 1-14. SID. https://sid.ir/paper/113344/en

Vancouver: Copy

BUCKLEY J.J., ESLAMI E.. PRICING STOCK OPTIONS USING FUZZY SETS. IRANIAN JOURNAL OF FUZZY SYSTEMS[Internet]. 2007;4(2):1-14. Available from: https://sid.ir/paper/113344/en

IEEE: Copy

J.J. BUCKLEY, and E. ESLAMI, “PRICING STOCK OPTIONS USING FUZZY SETS,” IRANIAN JOURNAL OF FUZZY SYSTEMS, vol. 4, no. 2, pp. 1–14, 2007, [Online]. Available: https://sid.ir/paper/113344/en

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