Option valuation model with adaptive fuzzy numbers

Computers and Mathematics with Applications

Volumn 53, Issue 5, 2007, Pages 831-841

  Thiagarajah, K ^a   Appadoo, S S ^b   Thavaneswaran, A ^b  

^a ILLINOIS STATE UNIVERSITY   (United States)

^b UNIVERSITY OF MANITOBA   (Canada)

Author keywords

Adaptive fuzzy number; Black Scholes option pricing formula; Fuzzy volatility; Possibilistic mean; Possibilistic variance

Indexed keywords

COSTS; FUZZY SETS; INFORMATION SCIENCE; THEOREM PROVING;

ADAPTIVE FUZZY NUMBER; BLACK-SCHOLES OPTION PRICING FORMULA; FUZZY VOLATILITY; POSSIBILISTIC MEAN; POSSIBILISTIC VARIANCE;

MATHEMATICAL MODELS;

EID: 34248229271     PISSN: 08981221     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.camwa.2007.01.011     Document Type: Article

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