Abstract
Pricing of options, forwards or futures often requires using uncertain values of parameters in the model. For example future interest rates are usually uncertain. We will use fuzzy numbers for these uncertain parameters to account for this uncertainty. When some of the parameters in the model are fuzzy the price then also becomes fuzzy. We first discuss options: (1) the discrete binomial method; and then (2) the Black-Scholes model. Then we look at pricing futures and forwards.
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References
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© 2008 Springer-Verlag Berlin Heidelberg
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Buckley, J.J., Eslami, E. (2008). Pricing Options, Forwards and Futures Using Fuzzy Set Theory. In: Kahraman, C. (eds) Fuzzy Engineering Economics with Applications. Studies in Fuzziness and Soft Computing, vol 233. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-70810-0_18
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DOI: https://doi.org/10.1007/978-3-540-70810-0_18
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-70809-4
Online ISBN: 978-3-540-70810-0
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