Optimal Stopping in Fuzzy Stochastic Processes and its Application to Option Pricing in Financial Engineering
An optimal stopping problem is discussed in a continuous-time process defined by fuzzy random variables. Fuzzy random variables are evaluated by both probabilistic expectation and fuzzy expectation defined by a possibility measure. An optimality equation and an optimal stopping time are given for the process. A numerical example is also given to apply it to a financial model.
KeywordsFuzzy Number Option Price Optimality Equation Fuzzy Goal Fuzzy Random Variable
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