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EXPECTED PAYOFF OF TRADING STRATEGIES INVOLVING EUROPEAN OPTIONS FOR FUZZY FINANCIAL MARKET | ||
Iranian Journal of Fuzzy Systems | ||
مقاله 7، دوره 8، شماره 3، دی 2011، صفحه 81-94 اصل مقاله (375.5 K) | ||
نوع مقاله: Review Paper | ||
شناسه دیجیتال (DOI): 10.22111/ijfs.2011.288 | ||
نویسندگان | ||
Zhongfeng Qin* 1؛ Xiang Li2 | ||
1School of Economics and Management, Beihang University, Beijing 100191, China | ||
2The State Key Laboratory of Rail Traffic Control and Safety, Beijing Jiaotong University, Beijing 100044, China | ||
چکیده | ||
Uncertainty inherent in the financial market was usually consid- ered to be random. However, randomness is only one special type of uncer- tainty and appropriate when describing objective information. For describing subjective information it is preferred to assume that uncertainty is fuzzy. This paper defines the expected payo of trading strategies in a fuzzy financial market within the framework of credibility theory. In addition, a computable integral form is obtained for expected payo of each strategy. | ||
کلیدواژهها | ||
Credibility Measure؛ Liu process؛ Expected value؛ Fuzzy process | ||
مراجع | ||
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