A Fuzzy Set Approach for Generalized CRR Model: An Empirical Analysis of S&P 500 Index Options
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- Zmeskal, Zdenek, 2010. "Generalised soft binomial American real option pricing model (fuzzy-stochastic approach)," European Journal of Operational Research, Elsevier, vol. 207(2), pages 1096-1103, December.
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Keywordsfuzzy set theory; fuzzy binomial OPM; option pricing model (OPM); a generalized CRR model; triangular fuzzy number; portfolio strategy;
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