Building fuzzy variance gamma option pricing models with jump levy process

• Main Authors: Zhang, H., Watada, J.
• Format: Article
• Published: Springer Science and Business Media Deutschland GmbH 2018
• Online Access: 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/21942/

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...