Fuzzy pricing of geometric Asian options and its algorithm

This paper considers the problem of pricing the geometric Asian option in the fuzzy environment. The fuzzy pattern of Kemma-Vorst formula is proposed under the assumption that the stock price, the risk-free interest rate and the volatility are all fuzzy numbers. An interpolation search algorithm is designed to solve the proposed pricing model. Furthermore, a numerical example is presented to show the rationality for the algorithm. Finally, an empirical study is also provided to indicate the practicability of the proposed fuzzy pricing model. From the empirical study, we can see that the market prices of E0015 option lay in the closed interval with belief degree 90% while the Kemma-Vorst model tends to underprice E0015 option.