Article ID Journal Published Year Pages File Type
5055036 Economic Modelling 2012 7 Pages PDF
Abstract
► We present the fuzzy double exponential jump diffusion option pricing formula. ► We obtain the crisp possibilistic mean option pricing formula. ► Numerical and empirical results illustrate that our proposed models are reasonable.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
The double exponential jump diffusion model for pricing European options under fuzzy environments
Authors
, , , ,