A discrete-time model of American put option in an uncertain environment

European Journal of Operational Research

Volumn 151, Issue 1, 2003, Pages 153-166

  Yoshida, Yuji ^a  

^a UNIVERSITY OF KITAKYUSHU   (Japan)

Author keywords

American put option; Fuzzy expectation; Fuzzy stochastic process; Optimal stopping; Uncertainty modeling; Valuation of price

Indexed keywords

DECISION MAKING; FUZZY SETS; RANDOM PROCESSES; UNCERTAIN SYSTEMS;

OPTIMAL STOPPING;

OPERATIONS RESEARCH;

EID: 0041589591     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(02)00591-X     Document Type: Article

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