In this paper we show that the so called fuzzy–stochastic 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
;
2010-01-01

Abstract

In this paper we show that the so called fuzzy–stochastic 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.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11576/2511145
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