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A fuzzy approach to option pricing in a Levy process setting
16 references·2 citing·35 second hop
A fuzzy approach to option pricing in a Levy process setting (2013)A fuzzy approach to option pricing in a L…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …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…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (2000)The Minimal Entropy Martingal…Pricing Via Utility Maximization and Entropy (2000)Pricing Via Utility Maximizat…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…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 setsThe Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…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…Valuing catastrophe bonds involving correlation and CIR interest rate model (2016)Valuing catastrophe bonds inv…A geometric Levy model for n -fold compound option pricing in a fuzzy framework (2016)A geometric Levy model for n …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)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)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)
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References

  • 1996Fuzzy sets46,880 cited
  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1980Fuzzy Sets and Systems - Theory and Applications6,412 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
  • 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets584 cited
  • 2000Pricing Via Utility Maximization and Entropy

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Cited by

  • 2016Valuing catastrophe bonds involving correlation and CIR interest rate model29 cited
  • 2016A geometric Levy model for n -fold compound option pricing in a fuzzy framework23 cited