Fuzzy binary tree model for European options

被引：0

作者：

Muzzioli, S ^{[1
]}

Reynaerts, H

机构：

[1] Univ Modena & Reggio Emilia, Dept Ecol, Modena, Italy

[2] Univ Ghent, Dept Appl Mathemat Comp Sci, Modena, Italy

来源：

PROGRESS IN INDUSTRIAL MATHEMATICS AT ECMI 2004 | 2006年 / 8卷

关键词：

dual fuzzy linear systems; vanilla option; binary tree;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The derivation of the risk neutral probabilities in a binary tree, in the presence of uncertainty on the underlying asset moves, boils down to the solution of dual fuzzy linear systems. The issue has previously been addressed and different solutions to the dual systems have been found. The aim of this paper is to apply a methodology which leads to a unique solution for the dual systems.

引用

页码：437 / 441

页数：5

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[6]

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