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A discrete-time model of American put option in an uncertain environment

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  • Yoshida, Yuji

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  • Yoshida, Yuji, 2003. "A discrete-time model of American put option in an uncertain environment," European Journal of Operational Research, Elsevier, vol. 151(1), pages 153-166, November.
    • Handle: RePEc:eee:ejores:v:151:y:2003:i:1:p:153-166
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    References listed on IDEAS

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    1. R. E. Bellman & L. A. Zadeh, 1970. "Decision-Making in a Fuzzy Environment," Management Science, INFORMS, vol. 17(4), pages 141-164, December.
    2. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    3. Kurano, Masami & Yasuda, Masami & Nakagami, Jun-ichi & Yoshida, Yuji, 1996. "Markov-type fuzzy decision processes with a discounted reward on a closed interval," European Journal of Operational Research, Elsevier, vol. 92(3), pages 649-662, August.
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    Cited by:

    1. Wei-Guo Zhang & Zhe Li & Yong-Jun Liu & Yue Zhang, 2021. "Pricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 483-515, August.
    2. Liu, Yu-hong & Jiang, I-ming, 2012. "Influence of investor subjective judgments in investment decision-making," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 129-142.
    3. Dulluri, Sandeep & Raghavan, N.R. Srinivasa, 2008. "Collaboration in tool development and capacity investments in high technology manufacturing networks," European Journal of Operational Research, Elsevier, vol. 187(3), pages 962-977, June.

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