Object
Title: A fuzzy approach to option pricing in a Levy process setting
Contributor:
Korbicz, Józef - red. ; Uciński, Dariusz - red.
Group publication title:
Abstract:
In this paper the problem of European option valuation in a Levy process setting is analysed. In our model the underlying asset follows a geometric Levy process. The jump part of the log-price process, which is a linear combination of Poisson processes, describes upward and downward jumps in price. The proposed pricing method is based on stochastic analysis and the theory of fuzzy sets. ; We assume that some parameters of the financial instrument cannot be precisely described and therefore they are introduced to the model as fuzzy numbers. Application of fuzzy arithmetic enables us to consider various sources of uncertainty, not only the stochastic one. To obtain the European call option pricing formula we use the minimal entropy martingale measure and Levy characteristics.
Publisher:
Zielona Góra: Uniwersytet Zielonogórski
Resource Identifier:
DOI:
Pages:
Source:
AMCS, volume 23, number 3 (2013)
Language:
Rights:
Biblioteka Uniwersytetu Zielonogórskiego
Object collections:
- Digital Library of Zielona Góra > Repository > Faculties > Faculty of Computer, Electrical and Control Engineering
- Digital Library of Zielona Góra > Repository > Types of work > Articles
- Digital Library of Zielona Góra > Repository > Scientific journals and UZ publishing series > International Journal of Applied Mathematics and Computer Science (AMCS)
- Digital Library of Zielona Góra > Repository > Scientific journals and UZ publishing series > International Journal of Applied Mathematics and Computer Science (AMCS) > International Journal of Applied Mathematics and Computer Science (AMCS) (2013)
Last modified:
Apr 23, 2024
In our library since:
Apr 23, 2024
Number of object content hits:
17
All available object's versions:
https://zbc.uz.zgora.pl/publication/88684
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International Journal of Applied Mathematics and Computer Science (AMCS)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 26 (2016)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 25 (2015)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 24 (2014)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 23 (2013)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 23, number 1 (2013)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 23, number 2 (2013)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 23, number 3 (2013)
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International Journal of Applied Mathematics and Computer Science (AMCS), volume 26 (2016)
| Edition name | Date |
|---|---|
| A fuzzy approach to option pricing in a Levy process setting | Apr 23, 2024 |
