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A fuzzy approach to option pricing in a Levy process setting Cover

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:  and    
Open Access
|Sep 2013
References

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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: University of Zielona Góra
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues 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 University of Zielona Góra
This work is licensed under the Creative Commons License.

Volume 23 (2013): Issue 3 (September 2013)
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