A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty

Fuzzy Sets and Systems

Volumn 157, Issue 19, 2006, Pages 2614-2626

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

^a UNIVERSITY OF KITAKYUSHU   (Japan)

^b CHIBA UNIVERSITY   (Japan)

Author keywords

American put option; Evaluation measures; Fuzzy stochastic process; Mean values; Optimal stopping; Possibility necessity weight, Pessimistic optimistic index, weighting function; Uncertainty modeling

Indexed keywords

DECISION MAKING; MATHEMATICAL MODELS; PARAMETER ESTIMATION; PROBABILISTIC LOGICS; PROBLEM SOLVING; RANDOM NUMBER GENERATION; RANDOM PROCESSES; UNCERTAIN SYSTEMS;

EVALUATION MEASURES; FUZZY STOCHASTIC PROCESS; MEAN VALUES; OPTIMAL STOPPING; UNCERTAINTY MODELING;

FUZZY SETS;

EID: 33748051438     PISSN: 01650114     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.fss.2003.11.022     Document Type: Article

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