A Discrete-Time American Put Option Model with Fuzziness of Stock Prices
A Discrete-Time American Put Option Model with Fuzziness of Stock Prices
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DOI：
10.1007/s10700-005-1889-9
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发表时间：
2005-07
影响因子：
4.7
通讯作者：
Y. Yoshida;M. Yasuda;J. Nakagami;M. Kurano
中科院分区：
文献类型：
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作者：
Y. Yoshida;M. Yasuda;J. Nakagami;M. Kurano
为了求解一个具有不确定性的美式看跌期权的数学模型，我们利用了两个要素，即，一个λ-权函数和模糊随机变量的均值。当我们处理从原始优化/决策扩展的合理和自然的模型时，随机性和不确定性的估计应该是重要的。详细论述了基于可能性、必要性和可信性的三种模糊测度均值。在合理的假设条件下，利用动态规划方法研究了美式看跌期权的最优期望价格。一个数值例子来说明我们的想法。
To solve a mathematical model for American put option with uncertainty, we utilize two essentials, i.e., a λ-weighting function and a mean value of fuzzy random variables simultaneously. Estimation of randomness and fuzziness as uncertainty should be important when we deal with a reasonable and natural model extended from the original optimization/decision making. Three kinds of mean values by fuzzy measures, which are based on Possibility, Necessity and Credibility, are demonstrated particularly. We consider the optimal expected price of the American put option by dynamic programming under a reasonable assumption. A numerical example is given to illustrate our idea.