A Discrete-Time American Put Option Model with Fuzziness of Stock Prices
نویسندگان
چکیده
منابع مشابه
A Discrete-Time American Put Option Model with Fuzziness of Stock Prices
To solve a mathematical model for American put option with uncertainty, we utilize two essentials, i.e., a λ−weighting function and a mean value of fuzzy random variables simultaneously. Estimation of randomness and fuzziness as uncertainty should be important when we deal with a reasonable and natural model extended from the original optimization/decision making. Three kinds of mean values by ...
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This work is devoted to the discrete time hedging of the American option on a dividendpaying stock with a convex payoff, the particular case of which is American call option. Perfect hedging requires continuous trading in time and knowledge of the partial derivative of the value function of the American option in the underlying asset. Neither one can trade continuously in time nor the closed-fo...
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ژورنال
عنوان ژورنال: Fuzzy Optimization and Decision Making
سال: 2005
ISSN: 1568-4539,1573-2908
DOI: 10.1007/s10700-005-1889-9