Building Fuzzy Variance Gamma Option Pricing Models with Jump Levy Process

Option pricing models are at core of financial area, and it includes various uncertain factors, such as the randomness and fuzziness. This paper constructs an jump Levy process by combining option pricing models with fuzzy theory, and it sets the drift, diffusion and trend terms as fuzzy random variable. Then, we adopts a Monte Carlo algorithm for numerical simulation, compares and analyses the variance gamma (VG) option pricing model through a simulation experiment, and determines the VG option pricing model and BS model pricing results. The results indicate that VG option pricing with fuzzy settings is feasible.