A fuzzy set approach for generalized CRR model: An empirical analysis of S&P 500 index options

Review of Quantitative Finance and Accounting

Volumn 25, Issue 3, 2005, Pages 255-275

  Lee, Cheng Few ^a,b   Tzeng, Gwo Hshiung ^b,c   Wang, Shin Yun ^b,d  

^a RUTGERS BUSINESS SCHOOL   (United States)

^b NATIONAL CHIAO TUNG UNIVERSITY   (Taiwan)

^c KAINAN UNIVERSITY   (Taiwan)

^d NATIONAL DONG HWA UNIVERSITY   (Taiwan)

Author keywords

A generalized CRR model; Fuzzy binomial OPM; fuzzy set theory; Option pricing model (OPM); Portfolio strategy; Triangular fuzzy number

Indexed keywords

EID: 24944586825     PISSN: 0924865X     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11156-005-4767-1     Document Type: Article

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