Option valuation model with adaptive fuzzy numbers
Computers & Mathematics with Applications
American option pricing with imprecise risk-neutral probabilities
International Journal of Approximate Reasoning
On theoretical pricing of options with fuzzy estimators
Journal of Computational and Applied Mathematics
Investment project valuation based on a fuzzy binomial approach
Information Sciences: an International Journal
The fuzzy binomial option pricing model under Knightian uncertainty
FSKD'09 Proceedings of the 6th international conference on Fuzzy systems and knowledge discovery - Volume 4
Investment project valuation using a fuzzy real options approach
ISTASC'10 Proceedings of the 10th WSEAS international conference on Systems theory and scientific computation
Option price sensitivities through fuzzy numbers
Computers & Mathematics with Applications
Investment appraisal under uncertainty - a fuzzy real options approach
ICONIP'10 Proceedings of the 17th international conference on Neural information processing: models and applications - Volume Part II
Combining monte carlo filters with support vector machines for option price forecasting
RSCTC'06 Proceedings of the 5th international conference on Rough Sets and Current Trends in Computing
A study of Greek letters of currency option under uncertainty environments
Mathematical and Computer Modelling: An International Journal
A fuzzy real option approach for investment project valuation
Expert Systems with Applications: An International Journal
On an implicit assessment of fuzzy volatility in the Black and Scholes environment
Fuzzy Sets and Systems
Journal of Computational and Applied Mathematics
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The application of fuzzy sets theory to the Black-Scholes formula is proposed in this paper. Owing to the fluctuation of financial market from time to time, some input parameters in the Black-Scholes formula cannot always be expected in the precise sense. Therefore, it is natural to consider the fuzzy interest rate, fuzzy volatility and fuzzy stock price. The fuzzy pattern of Black-Scholes formula and put-call parity relationship are then proposed in this paper. Under these assumptions, the European option price will turn into a fuzzy number. This makes the financial analyst who can pick any European option price with an acceptable belief degree for the later use. In order to obtain the belief degree, an optimization problem has to be solved.