The paper is organized as follows: section 2 contains a brief description of the fuzzy calculus with the LU-fuzzy model and in section 3 we describe the detailed algorithms which implement the LU-fuzzy extension principle. Section 4 contains the description of the LU-fuzzy calculator and its illustration to the application in the Black and Scholes fuzzy option pricing.
A parametrization of fuzzy numbers for fuzzy calculus and application to the fuzzy Black-Scholes option pricing
STEFANINI LUCIANO
;SORINI LAERTE
;GUERRA MARIA LETIZIA
2006
Abstract
The paper is organized as follows: section 2 contains a brief description of the fuzzy calculus with the LU-fuzzy model and in section 3 we describe the detailed algorithms which implement the LU-fuzzy extension principle. Section 4 contains the description of the LU-fuzzy calculator and its illustration to the application in the Black and Scholes fuzzy option pricing.File in questo prodotto:
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