In this paper we show that the so called fuzzystochastic approach in financial models is an efficient way to handle the uncertainty about parameters. We show the possible applications in the option pricing models with constant and stochastic volatility.
Uncertain parameters as fuzzy numbers in option pricing models
LAERTE SORINI
;MARIA LETIZIA GUERRA
;LUCIANO STEFANINI
;
2010
Abstract
In this paper we show that the so called fuzzystochastic approach in financial models is an efficient way to handle the uncertainty about parameters. We show the possible applications in the option pricing models with constant and stochastic volatility.File in questo prodotto:
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