A fuzzy approach to option pricing in a Levy process setting
نویسندگان
چکیده
منابع مشابه
A fuzzy approach to option pricing in a Levy process setting
In this paper the problem of European option valuation in a Levy process setting is analysed. In our model the underlying asset follows a geometric Levy process. The jump part of the log-price process, which is a linear combination of Poisson processes, describes upward and downward jumps in price. The proposed pricing method is based on stochastic analysis and the theory of fuzzy sets. We assu...
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ژورنال
عنوان ژورنال: International Journal of Applied Mathematics and Computer Science
سال: 2013
ISSN: 2083-8492,1641-876X
DOI: 10.2478/amcs-2013-0046