Have a personal or library account? Click to login

A fuzzy approach to option pricing in a Levy process setting

International Journal of Applied Mathematics and Computer Science
Volume 23 (2013): Issue 3 (September 2013)
By:
Open Access
|Sep 2013

Authors

DOI: https://doi.org/10.2478/amcs-2013-0046 | Journal eISSN: 2083-8492 | Journal ISSN: 1641-876X
Journal RSS Feed
Language: English
Page range: 613 - 622
Published on: Sep 30, 2013
Published by: Sciendo
In partnership with: Paradigm Publishing Services
Publication frequency: 4 times per year
Keywords:
option pricing,
Levy processes,
minimal entropy martingale measure,
fuzzy sets,
Monte Carlo simulation
Related subjects:
Mathematics,
Applied mathematics

© 2013 Piotr Nowak, Maciej Romaniuk, published by Sciendo
This work is licensed under the Creative Commons License.

Previous articleVolume 23 (2013): Issue 3 (September 2013)Next article