An option pricing model with adaptive interval-valued fuzzy numbers
by Qiansheng Zhang; Jingfa Liu; Haixiang Yao
International Journal of Computing Science and Mathematics (IJCSM), Vol. 17, No. 4, 2023

Abstract: This paper proposes an option pricing model with an interval-valued fuzzy interest rate, volatility, and stock price. The interval-valued fuzzy pattern of the Black-Scholes option formula is also investigated. With the presented option pricing model, the European option price can be evaluated by an adaptive interval-valued fuzzy number (IvFN). Utilising the proposed interval-valued fuzzy option valuation formula, the option investor can pick a European option price with an acceptable interval belief degree for the later transaction.

Online publication date: Wed, 21-Jun-2023

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