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American option pricing with imprecise risk-neutral probabilities · Study

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ArticleAmerican option pricing with imprecise risk-neutral probabilities

Silvia Muzzioli2007

OA

Articlebronze2007

American option pricing with imprecise risk-neutral probabilities

Silvia Muzzioli · Huguette Reynaerts

45 citations·0/0 files stored·International Journal of Approximate Reasoning

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

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References

1980Fuzzy Sets and Systems - Theory and Applications 1979Option pricing: A simplified approach 1987The Pricing of Options on Assets with Stochastic Volatilities 1976The valuation of options for alternative stochastic processes 1994Implied Binomial Trees 1998The relation between implied and realized volatility 1979The valuation of compound options 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application

Cited by

2020Financing mode of energy performance contracting projects with carbon emissions reduction potential and carbon emissions ratings 2020Decision Making for Project Appraisal in Uncertain Environments: A Fuzzy-Possibilistic Approach of the Expanded NPV Method 2019Nonparametric predictive inference for European option pricing based on the binomial tree model 2021Assessment of investment decisions in bulk shipping through fuzzy real options analysis 2011Patent valuation with a fuzzy binomial model

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Year2007

Typearticle

Published2007-10-02

VenueInternational Journal of Approximate Reasoning

ISSN-L0888-613X

Languageen

Citations45

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.ijar.2007.06.011

openalex_workW2054545513

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