Option Pricing Formula for Hybrid Stock Model with Randomness and Fuzziness
نویسنده
چکیده
The option pricing problem is one of central contents in modern finance. In this paper, European option pricing formula is formulated for Liu’s hybrid stock model with randomness and fuzziness. This formula may be regarded as a generalization of Black-Scholes formula and Qin-Li’s option pricing formula.
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تاریخ انتشار 2008