Pricing European Options with Triangular Fuzzy Parameters: Assessing Alternative Triangular Approximations in the Spanish Stock Option Market
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DOI: 10.1007/s40815-018-0468-5
Abstract: The aim of this paper is contributing from a practical and empirical perspective to option pricing under fuzziness. When we evaluate Black–Scholes option pricing formula with triangular fuzzy numbers, we obtain a non-triangular price that… read more here.
Keywords: triangular approximations; european options; option; pricing european ... See more keywords