A discrete-time American put option model with fuzziness of stock prices

Fuzzy Optimization and Decision Making

Volumn 4, Issue 3, 2005, Pages 191-207

  Yoshida, Yuji ^a   Yasuda, Masami ^b   Nakagami, Jun Ichi ^b   Kurano, Masami ^b  

^a UNIVERSITY OF KITAKYUSHU   (Japan)

^b CHIBA UNIVERSITY   (Japan)

Author keywords

weighting functions; American put option; Decision making with uncertainty; Financial engineering; Fuzzy measures; Fuzzy stochastic process; Optimal stopping

Indexed keywords

DECISION MAKING; DISCRETE TIME CONTROL SYSTEMS; FUNCTIONS; MATHEMATICAL MODELS; PROBLEM SOLVING; RANDOM PROCESSES; UNCERTAIN SYSTEMS;

DECISION MAKING WITH UNCERTAINTY; FUZZY STOCHASTIC PROCESS; OPTIMAL STOPPING; WEIGHTING FUNCTION;

FUZZY CONTROL;

EID: 24144465943     PISSN: 15684539     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10700-005-1889-9     Document Type: Article

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