This paper deals with the problem of pricing an option in a one-period model when the price of the underlyng asset is vague. The vagueness is modelled by the use of triangular fuzzy numbers and the pricing methodlogy is based on the no-arbitrage principle. A comparison with the corresponding binomial option pricing model is provided, in particular we show that it can be viewed as a special case of our model.
Pricing options on a vague asset / Muzzioli, Silvia; Torricelli, Costanza. - STAMPA. - I:(1999), pp. 546-548. (Intervento presentato al convegno 5th International conference of the Decision Science Institute tenutosi a Athens, Greece nel 4-7 July 1999).
Pricing options on a vague asset
MUZZIOLI, Silvia;TORRICELLI, Costanza
1999
Abstract
This paper deals with the problem of pricing an option in a one-period model when the price of the underlyng asset is vague. The vagueness is modelled by the use of triangular fuzzy numbers and the pricing methodlogy is based on the no-arbitrage principle. A comparison with the corresponding binomial option pricing model is provided, in particular we show that it can be viewed as a special case of our model.
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