A multiperiod binomial model for pricing options in a vague world
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Volume (Year): 28 (2004)
Issue (Month): 5 (February)
Pages: 861-887
| Handle: | RePEc:eee:dyncon:v:28:y:2004:i:5:p:861-887 |
| Contact details of provider: | Web page: http://www.elsevier.com/locate/jedc
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References listed on IDEAS
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- Marco Avellaneda & Antonio ParAS, 1996. "Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(1), pages 21-52.
- Umberto Cherubini, 1997. "Fuzzy measures and asset prices: accounting for information ambiguity," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(3), pages 135-149.
- 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.
- Muzzioli, Silvia & Torricelli, Costanza, 2001. "A Model For Pricing An Option With A Fuzzy Payoff," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(1), pages 49-87, May.
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