Market Application of the Fuzzy-Stochastic Approach in the Heston Option Pricing Model
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References listed on IDEAS
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Cited by:
- Maria Letizia Guerra & Laerte Sorini & Luciano Stefanini, 2015. "Option prices by differential evolution," Working Papers 1511, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2015.
- Maria Letizia Guerra & Laerte Sorini & Luciano Stefanini, 2013. "Value function computation in fuzzy models by differential evolution," Working Papers 1311, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2013.
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More about this item
Keywords
fuzzy numbers; stochastic volatility; risk-neutral measure; option pricing;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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