Pricing fuzzy vulnerable options and risk management

Expert Systems with Applications

Volumn 36, Issue 10, 2009, Pages 12188-12199

  Liu, Yu hong ^a  

^a NATIONAL CHENG KUNG UNIVERSITY   (Taiwan)

Author keywords

Choquet integral; Default risk; Fuzzy measure; Non identical rationality; Value at risk; Vulnerable option

Indexed keywords

CHOQUET INTEGRAL; DEFAULT RISK; FUZZY MEASURE; NON-IDENTICAL RATIONALITY; VALUE-AT-RISK; VULNERABLE OPTION;

COMMERCE; COSTS; ECONOMIC AND SOCIAL EFFECTS; ECONOMICS; INTEGRAL EQUATIONS; INVESTMENTS; RISK ANALYSIS; RISK ASSESSMENT; RISK MANAGEMENT; VALUE ENGINEERING;

RISK PERCEPTION;

EID: 69249202674     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2009.03.007     Document Type: Article

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