Market Application of the Fuzzy-Stochastic Approach in the Heston Option Pricing Model
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References listed on IDEAS
- Bollerslev, Tim & Zhou, Hao, 2002.
"Estimating stochastic volatility diffusion using conditional moments of integrated volatility,"
Journal of Econometrics,
Elsevier, vol. 109(1), pages 33-65, July.
- Tim Bollerslev & Hao Zhou, 2001. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Finance and Economics Discussion Series 2001-49, Board of Governors of the Federal Reserve System (U.S.).
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- 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.
More about this item
Keywordsfuzzy numbers; stochastic volatility; risk-neutral measure; option pricing;
- 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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