Building fuzzy variance gamma option pricing models with jump levy process

• 主要な著者: Zhang, H., Watada, J.
• フォーマット: 論文
• 出版事項: Springer Science and Business Media Deutschland GmbH 2018
• オンライン･アクセス: https://www.scopus.com/inward/record.uri?eid=2-s2.0-85020452162&doi=10.1007%2f978-3-319-59424-8_10&partnerID=40&md5=4e6a5ce7c9192097c13ab05c3830b5dd; http://eprints.utp.edu.my/21292/

Option pricing models are at core of financial area, and it includes various uncertain factors, such as the randomness and fuzziness. This paper constructs an jump Levy process by combining option pricing models with fuzzy theory, and it sets the drift, diffusion and trend terms as fuzzy random vari...