The generalization of λ-fuzzy measures with application to the fuzzy option

Authors:
Liyan Han;Wenli Chen
Affiliations:
School of Economics and Management, Beihang University, Beijing, China;School of Economics and Management, Beihang University, Beijing, China
Venue:
FSKD'06 Proceedings of the Third international conference on Fuzzy Systems and Knowledge Discovery
Year:
2006

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Abstract

In this paper, we present the definition of λ-fuzzy signed measure, its generalized transform function, and the distribution properties of λ-fuzzy measures. Then investors' heterogeneity is revealed with a family of λ-fuzzy measures. The approach to asset pricing based on λ-fuzzy measures breaks through the traditional ”identical rationality” assumption, and provides an useful analytical tool for recent researches of behavioral economics and finance.