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:

Piotr Nowak and Maciej Romaniuk

Open Access

|Sep 2013

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DOI: https://doi.org/10.2478/amcs-2013-0046 | Journal eISSN: 2083-8492 | Journal ISSN: 1641-876X

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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,

Monte Carlo simulation

Related subjects:

Applied mathematics

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

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