A General Stock Model for Fuzzy Markets
نویسنده
چکیده
This paper presents a general stock model for fuzzy markets based on a class of fuzzy process, that is, geometric Liu process. Firstly, a brief history of stock models and some methodologies used in stochastic stock models have been reviewed. Next, some useful concepts and properties about fuzzy process are presented. Then, a general stock model for fuzzy markets is formulated by way of fuzzy differential equation. This basic single-factor model leads quite naturally to multi-factor extensions. Some option pricing formula on the proposed fuzzy stock model are investigated. Finally, some remarks are made in the concluding section.
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