Building fuzzy variance gamma option pricing models with jump levy process
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...
| Main Authors: | Zhang, H., Watada, J. |
|---|---|
| Format: | Article |
| Institution: | Universiti Teknologi Petronas |
| Record Id / ISBN-0: | utp-eprints.21942 / |
| Published: |
Springer Science and Business Media Deutschland GmbH
2018
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| 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/ |
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