Fuzzy options with application to default risk analysis for municipal bonds in China

被引：10

作者：

Han, Liyan ^{[1
]}

Zheng, Chengli ^{[2
]}

机构：

[1] Beihang Univ, Dept Finance, Beijing 100083, Peoples R China

[2] Peking Univ, Shenzhen Grad Sch, Shenzhen 518055, Peoples R China

来源：

NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS | 2005年 / 63卷 / 5-7期

基金：

中国国家自然科学基金;

关键词：

Fuzzy options; Non-identical rationalities; Default risk; Municipal bonds;

D O I：

10.1016/j.na.2005.02.019

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In contrast to identical rationality, non-identical rationality is laid as the basis for option pricing, realized by a family of non-additive fuzzy measures mathematically, which naturally induces the new concept and analyzing methods, fuzzy options. Then as demonstration, the paper applies the fuzzy options to default risk analysis for municipal bonds in China. (C) 2005 Published by Elsevier Ltd.

引用

页码：E2353 / E2365

页数：13

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