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PRICING STOCK OPTIONS USING FUZZY SETS | ||
| Iranian Journal of Fuzzy Systems | ||
| مقاله 2، دوره 4، شماره 2، دی 2007، صفحه 1-14 اصل مقاله (189.17 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22111/ijfs.2007.365 | ||
| نویسندگان | ||
| James J. Buckley1؛ Esfandiar Eslami2 | ||
| 1Department of Mathematics, University of Alabama at Birmingham, Birmingham, Al 35209, USA | ||
| 2Department of Mathematics, Shahid Bahonar University of Kerman, Kerman and Institute for Studies in Theoretical Physics and Mathematics(IPM), Tehran, Iran | ||
| چکیده | ||
| We use the basic binomial option pricing method but allow some or all the parameters in the model to be uncertain and model this uncertainty using fuzzy numbers. We show that with the fuzzy model we can, with a reasonably small number of steps, consider almost all possible future stock prices; whereas the crisp model can consider only n + 1 prices after n steps. | ||
| کلیدواژهها | ||
| Pricing Options؛ Binomial methods؛ Fuzzy numbers | ||
| مراجع | ||
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