کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
477850 | 1446205 | 2007 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The solution of fuzzy linear systems by non-linear programming: a financial application
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موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The solution of fuzzy linear systems by non-linear programming: a financial application The solution of fuzzy linear systems by non-linear programming: a financial application](/preview/png/477850.png)
چکیده انگلیسی
Fuzzy linear systems of equations play a major role in various financial applications. In this paper we analyse a particular fuzzy linear system: the derivation of the risk neutral probabilities in a fuzzy binary tree. This system has previously been investigated and different solutions to different forms of the same system have been proposed.The aim of this paper is twofold. First, we highlight that the different solutions proposed, arise from different forms of the same system. Second, in order to find a unique vector solution for the system, we propose a practical algorithm that boils down to the solution of a non-linear optimization problem.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 177, Issue 2, 1 March 2007, Pages 1218–1231
Journal: European Journal of Operational Research - Volume 177, Issue 2, 1 March 2007, Pages 1218–1231
نویسندگان
Silvia Muzzioli, Huguette Reynaerts,