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A Discrete-Time European Options Model under Uncertainty in Financial Engineering

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Multi-Objective Programming and Goal Programming

Part of the book series: Advances in Soft Computing ((AINSC,volume 21))

Abstract

A discrete-time European options model with uncertainty of both randomness and fuzziness is presented, by introducing fuzzy logic to the stochastic financial model. The randomness and fuzziness in the systems are evaluated by both probabilistic expectation and fuzzy expectation, taking account of buyer’s/writer’s subjective demand goal. Fuzzy prices of European call/put options with uncertainty are given and their valuation and properties are discussed under a reasonable assumption. The meaning and properties of buyer’s/writer’s permissible range of expected prices are discussed in a numerical example.

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References

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Authors and Affiliations

  1. The University of Kitakyushu, 4-2-1 Kitagata, Kokuraminami, Kitakyushu, 802-8577, Japan

    Yuji Yoshida

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  1. Yuji Yoshida
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© 2003 Springer-Verlag Berlin Heidelberg

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Yoshida, Y. (2003). A Discrete-Time European Options Model under Uncertainty in Financial Engineering. In: Multi-Objective Programming and Goal Programming. Advances in Soft Computing, vol 21. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-36510-5_60

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  • DOI: https://doi.org/10.1007/978-3-540-36510-5_60

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-00653-4

  • Online ISBN: 978-3-540-36510-5

  • eBook Packages: Springer Book Archive

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