Title

The Fuzzy Jump-Diffusion Model to Pricing European Vulnerable Options

Authors

Wei-Jun Xu;Xiao-Long Peng;Wei-Lin Xiao

Key Words

Fuzzy number ; european vulnerable options ; jump-diffusion process ; secant method

PublicationName

International Journal of Fuzzy Systems

Volume or Term/Year and Month of Publication

15卷3期(2013 / 09 / 01)

Page #

317 - 325

Content Language

英文

English Abstract

Owing to the fluctuation of financial markets from time to time, some parameters, such as the interest rate, volatility, cannot be precisely described. Under the assumption that the risk-free rate, the volatility, and the average jump intensity are fuzzy numbers, this paper presents the jump-diffusion approach to price vulnerable options in fuzzy environments. We also provide the crisp possibilistic mean jump-diffusion model to price European vulnerable call options and the secant method to obtain the belief degree. Finally, the performance of our model and the algorithm is illustrated with some numerical examples.

Topic Category 基礎與應用科學 > 資訊科學