English, Article edition: PRICING STOCK OPTIONS USING BLACK-SCHOLES AND FUZZY SETS JAMES J. BUCKLEY; ESFANDIAR ESLAMI

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Physical Description
  • article
Language
  • English

Edition details

Title
  • PRICING STOCK OPTIONS USING BLACK-SCHOLES AND FUZZY SETS
Author
  • JAMES J. BUCKLEY
  • ESFANDIAR ESLAMI
Physical Description
  • article
Notes
  • We use the basic Black-Scholes equation for pricing European stock options but we allow some of the parameters in the model to be uncertain and we model this uncertainty using fuzzy numbers. We compute the fuzzy number for the call value of option with and without uncertain dividends. This fuzzy set displays the uncertainty in the option's value due to the uncertainty in the input values to the model. We also correct an error in a recent paper which also fuzzified the Black-Scholes equation.
  • Pricing European options, Black-Scholes, fuzzy numbers
  • RePEc:wsi:nmncxx:v:04:y:2008:i:02:p:165-176
Language
  • English
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