Korbicz, Józef - red. ; Uciński, Dariusz - red.
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.
Zielona Góra: Uniwersytet Zielonogórski
AMCS, volume 23, number 3 (2013)
Biblioteka Uniwersytetu Zielonogórskiego
2024-04-23
2024-04-23
18
https://zbc.uz.zgora.pl/repozytorium/publication/88684
Nazwa wydania | Data |
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A fuzzy approach to option pricing in a Levy process setting | 2024-04-23 |
Wybraniec-Skardowska, Urszula Grzymala-Busse, Jerzy - ed. Świniarski, Roman W. - ed. Zhong, Ning - ed. Ziarko, Wojciech - ed.
Nowicki, Robert K. Korbicz, Józef - red. Uciński, Dariusz - red.
Pouraminian, Majid Pourbakhshian, Somayyeh Noroozinejad Farsangi, Ehsan Berenji, Sevil Keyani Borujeni, Salman Moosavi Asl, Mirhasan Mohammad Hosseini, Mehdi Kuczyński, Tadeusz - red.
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Pouraminian, Majid Pourbakhshian, Somayyeh Noroozinejad Farsangi, Ehsan Fotoukian, Reza Kuczyński, Tadeusz - red.
Colomo-Palacios, Ricardo González-Carrasco, Israel López-Cuadrado, José Luis García-Crespo, Ángel Cordón, Oskar - ed. Kazienko, Przemysław - ed.
Nguyen, Huu Anh Tuan Kuczyński, Tadeusz - red.
Pedrycz, Witold (1953- ) Korbicz, Józef - red. Uciński, Dariusz - red.