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- Title
PRICING STOCK OPTIONS USING BLACK-SCHOLES AND FUZZY SETS.
- Authors
BUCKLEY, JAMES J.; ESLAMI, ESFANDIAR
- Abstract
We use the basic Black-Scholes equation for pricing European stock options but we allow some of the parameters in the model to be uncertain and we model this uncertainty using fuzzy numbers. We compute the fuzzy number for the call value of option with and without uncertain dividends. This fuzzy set displays the uncertainty in the option's value due to the uncertainty in the input values to the model. We also correct an error in a recent paper which also fuzzified the Black-Scholes equation.
- Subjects
STOCK options; STOCKS (Finance); OPTIONS (Finance); PURCHASE options; FUZZY sets; FUZZY numbers
- Publication
New Mathematics & Natural Computation, 2008, Vol 4, Issue 2, p165
- ISSN
1793-0057
- Publication type
Article
- DOI
10.1142/S1793005708001008