Pricing a contingent claim with random interval or fuzzy random payoff in one-period setting

Authors:
Surong You;Jiajin Le;Xiaodong Ding
Affiliations:
College of Science, Donghua University, Shanghai 201620, PR China;School of Computer Science & Technology, Donghua University, Shanghai 201620, PR China;University of Shanghai for Science and Technology, Shanghai 200093, PR China
Venue:
Computers & Mathematics with Applications
Year:
2008

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Abstract

This article proposes a method for pricing a contingent claim with random interval and fuzzy random payoff. On introduction of the acceptability concept based on classical no-arbitrage argument, a price interval and a fuzzy price are obtained in random interval market and fuzzy random market, respectively. New definitions on replicative strategies, sub-replicative and sup-replicative ones, in two market setting are given. Some interesting results similar to those in the classical random market are presented.