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ArticleComputing option price for Levy process with fuzzy parameters

Piotr Nowak2009

Article2009

Computing option price for Levy process with fuzzy parameters

Piotr Nowak · Maciej Romaniuk

50 citations·0/0 files stored·European Journal of Operational Research

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Stochastic processes and financial applications Risk and Portfolio Optimization Fuzzy Systems and Optimization

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References

1965Fuzzy sets 1996Fuzzy sets 1973The Pricing of Options and Corporate Liabilities 1980Fuzzy Sets and Systems - Theory and Applications 2016“Options, Futures, and Other Derivatives”2003Options, Futures and Other Derivatives 2003Monte Carlo Methods in Financial Engineering 1995Efficient Monte Carlo Simulation of Security Prices

Cited by

2012Pricing and simulations of catastrophe bonds 2012The double exponential jump diffusion model for pricing European options under fuzzy environments 2013Application of Levy processes and Esscher transformed martingale measures for option pricing in fuzzy framework 2020Pricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps 2013A fuzzy approach to option pricing in a Levy process setting 2017Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion

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2013Application of Levy processes and Esscher transformed martingale measures for option pricing in fuzzy frameworkarticle · 6 shared references 2013A fuzzy approach to option pricing in a Levy process settingarticle · 6 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 4 shared references 2004Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontierarticle · 4 shared references 2011Numerical Solution of Stochastic Differential Equations in Financechapter · 4 shared references 2001Fuzzy Portfolio Model for Decision Making in Investmentchapter · 4 shared references

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Year2009

Typearticle

Published2009-02-22

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations50

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.ejor.2009.02.009

openalex_workW2017545778

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2016Valuing catastrophe bonds involving correlation and CIR interest rate model