| On the No-arbitrage Principle and Option Pricing in a Fuzzy Market |
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| 引用本文： | 尤苏蓉. On the No-arbitrage Principle and Option Pricing in a Fuzzy Market[J]. 东华大学学报(英文版), 2006, 23(3): 60-63 |
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| 作者姓名： | 尤苏蓉 |
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| 作者单位： | College of Sciences, Donghua University, Shanghai 201620 |
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| 摘 要： | Discuss the no-arbitrage principle in a fuzzy market and present a model for pricing an option. Get a fuzzy price for the contingent claim in a market involving fuzzy elements, whose level set can be seen as the possible price level interval with given belief degree. Use fuzzy densit） function and fuzzy mean as evidence for such model. Also give an example for comparing the result of the model in this article and that of another pricing method.
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| 关 键 词： | Black-Scholes公式 模糊定价 可信度 模糊密度函数 模糊平均数 |
| 收稿时间： | 2005-10-18 |
On the No-arbitrage Principle and Option Pricing in a Fuzzy Market |
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| YOU Su-rong. On the No-arbitrage Principle and Option Pricing in a Fuzzy Market[J]. Journal of Donghua University, 2006, 23(3): 60-63 |
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| Authors: | YOU Su-rong |
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| Abstract: | Discuss the no-arbitrage principle in a fuzzy market and present a model for pricing an option. Get a fuzzy price for the contingent claim in a market involving fuzzy elements, whose level set can be seen as the possible price level interval with given belief degree. Use fuzzy density function and fuzzy mean as evidence for such model. Also give an example for comparing the result of the model in this article and that of another pricing method. |
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| Keywords: | Black-Scholes formula fuzzy price belief degree fuzzy density function fuzzy mean |
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