Abstract
In this paper an option valuation model using fuzzy process is discussed. We demonstrate how fuzzy L process can be successfully applied to the risk neutral option pricing model. Through option pricing theory and fuzzy set theory we get results that allow us to effectively price option in a fuzzy environment.
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Liu, Sx., Jing, Qj., Zhao, Dy. (2012). Fuzzy Process and the Application to Option Pricing in Risk Mangement. In: Cao, BY., Xie, XJ. (eds) Fuzzy Engineering and Operations Research. Advances in Intelligent and Soft Computing, vol 147. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-28592-9_29
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DOI: https://doi.org/10.1007/978-3-642-28592-9_29
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-28591-2
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