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Application of Levy processes and Esscher transformed martingale measures for option pricing in fuzzy framework
16 references·3 citing·35 second hop
Application of Levy processes and Esscher transformed martingale measures for option pricing in fuzzy framework (2013)Application of Levy processes and Esscher…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Option Pricing Under a Double…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Fuzzy sets (1996)Fuzzy setsA general version of the fundamental theorem of asset pricing (1994)A general version of the fund…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Fuzzy Sets and Systems - Theory and Applications (1980)Fuzzy Sets and Systems - Theo…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Fuzzy sets (1965)Fuzzy setsPricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps (2020)Pricing European Option Under…Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion (2017)Analytical pricing of geometr…Valuing catastrophe bonds involving correlation and CIR interest rate model (2016)Valuing catastrophe bonds inv…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Behavior of Stock-Market Prices (1965)Time-changed Lévy processes and option pricing (2003)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)A Theory of the Term Structure of Interest Rates (1985)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)A fuzzy extension of Saaty's priority theory (1983)A 2-tuple fuzzy linguistic representation model for computing with words (2000)Hesitant Fuzzy Linguistic Term Sets for Decision Making (2011)Extensions of the TOPSIS for group decision-making under fuzzy environment (2000)An approach for detecting, quantifying, and visualizing the evolution of a research field: A practical application to the Fuzzy Sets Theory field (2010)Science mapping software tools: Review, analysis, and cooperative study among tools (2011)Family resemblances: Studies in the internal structure of categories (1975)Basic objects in natural categories (1976)Soft set theory—First results (1999)
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  • 2020Pricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps33 cited
  • 2017Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion30 cited
  • 2016Valuing catastrophe bonds involving correlation and CIR interest rate model29 cited