Binary option pricing using fuzzy numbers

被引：51
|
作者：
Thavaneswaran, A. [2 ]
Appadoo, S. S. [1 ]
Frank, J. [3 ]
机构：
[1] Univ Manitoba, Dept Supply Chain Management, Winnipeg, MB R3T 2N2, Canada
[2] Univ Manitoba, Dept Stat, Winnipeg, MB R3T 2N2, Canada
[3] Univ Manitoba, Dept Agribusiness & Agr Econ, Winnipeg, MB R3T 2N2, Canada
来源：
APPLIED MATHEMATICS LETTERS | 2013年 / 26卷 / 01期
基金：
加拿大自然科学与工程研究理事会;
关键词：
Fuzzy option pricing; Call option; Binary option; Asset-or-nothing option;
D O I：
10.1016/j.aml.2012.03.034
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A binary option is a type of option where the payout is either fixed after the underlying stock exceeds the predetermined threshold (or strike price) or is nothing at all. Traditional option pricing models determine the option's expected return without taking into account the uncertainty associated with the underlying asset price at maturity. Fuzzy set theory can be used to explicitly account for such uncertainty. Here we use fuzzy set theory to price binary options. Specifically, we study binary options by fuzzifying the maturity value of the stock price using trapezoidal, parabolic and adaptive fuzzy numbers. (C) 2012 Elsevier Ltd. All rights reserved.
引用
收藏
页码：65 / 72
页数：8
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