Obiekt
Tytuł: A fuzzy approach to option pricing in a Levy process setting
Współtwórca:
Korbicz, Józef - red. ; Uciński, Dariusz - red.
Tytuł publikacji grupowej:
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.
Wydawca:
Zielona Góra: Uniwersytet Zielonogórski
Identyfikator zasobu:
DOI:
Strony:
Źródło:
AMCS, volume 23, number 3 (2013)
Jezyk:
Prawa do dysponowania publikacją:
Biblioteka Uniwersytetu Zielonogórskiego
Kolekcje, do których przypisany jest obiekt:
- Repozytorium > Jednostki organizacyjne > Wydział Informatyki, Elektrotechniki i Automatyki
- Repozytorium > Typy utworów > Artykuły
- Repozytorium > Czasopisma naukowe i serie wydawnicze UZ > International Journal of Applied Mathematics and Computer Science (AMCS)
- Repozytorium > Czasopisma naukowe i serie wydawnicze UZ > International Journal of Applied Mathematics and Computer Science (AMCS) > International Journal of Applied Mathematics and Computer Science (AMCS) (2013)
Data ostatniej modyfikacji:
2024-04-23
Data dodania obiektu:
2024-04-23
Liczba wyświetleń treści obiektu:
11
Wszystkie dostępne wersje tego obiektu:
https://zbc.uz.zgora.pl/repozytorium/publication/88684
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| Nazwa wydania | Data |
|---|---|
| A fuzzy approach to option pricing in a Levy process setting | 2024-04-23 |
