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| Author: | Yoshida, Y. |
| Title: | The valuation of European options in uncertain environment |
| Journal: | European Journal of Operational Research
2003 : FEB, VOL. 145:1, p. 221-229 |
| Index terms: | Uncertainty Models Options Prices Valuation Stochastic processes Fuzzy sets |
| Language: | eng |
| Abstract: | A new model on European options with uncertainty of both randomness and fuzziness in output is presented, by introducing fuzzy logic to the stochastic financial model. The paper demonstrates Black-Scholes formula to give rational expected price of the European options and buyer's/writer's (seller's) permissible range of expected prices. |
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