Option Pricing with Stochastic Volatility Using Fuzzy Sets Theory

被引：0

作者：

Li, Hua ^{[1
]}

Swishchuk, Anatoliy ^{[1
]}

Ware, Anthony ^{[1
]}

机构：

[1] Univ Calgary, Dept Math & Stat, Calgary, AB T2N 1N4, Canada

来源：

PROCEEDINGS OF CHINA-CANADA INDUSTRY WORKSHOP ON ENTERPRISE RISK MANAGEMENT 2008 | 2008年

关键词：

European option; stochastic volatility; fuzzy sets; possibility; fuzzy stochastic process; nonlinear PDE;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The aim of this paper is to price European options for assets with stochastic volatility (SV) in Heston model in 1993 using fuzzy set theory. The main idea is to transform the probability distribution of stochastic volatility to its possibility distribution (from 'volatility smile to volatility frown') and reduce the problem to a fuzzy stochastic process for underlying asset with a new SV as a fuzzy number associated with initial SV. We use then non-linear fuzzy PDE approach to price European options.

引用

页码：413 / 418

页数：6

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