Fuzzy Binomial Option pricing model: a comparison of the fuzzy binomials and modified numerical methods

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Fuzzy Binomial Option pricing model: a comparison of the fuzzy binomials and modified numerical methods

The fuzzy set concept can be applied to the derivative pricing model to cover the uncertainty in the market. The aim of this study is to modify existing fuzzy binomial option pricing models and tests them with several lattice numerical methods to compare the performance and clarify the benefit and n...

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Bibliographic Details
Main Author:	Kanthamanond, Piti
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2009
Subjects:	Option pricing fuzzy set Computational Finance
Online Access:	https://eprints.nottingham.ac.uk/22856/

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