A fuzzy jump-diffusion model for vulnerable option pricing

摘要：

This paper presents a fuzzy random jump-diffusion model for vulnerable European option pricing, which is a reasonable and natural extension of Peter Kleins (1996) vulnerable option pricing model. Numerical analysis shows that the model proposed in this paper is reasonable.

关键词： fuzzy random variable fuzzy jump-diffusion vulnerable option pricing

作者: Shi Guangping Zhou Shengwu

作者单位: College of Science, China University of Mining and Technology, Xuzhou 221116, China

会议类型: 国际会议

会议名称: 2010 International Conference on Probability and Statistics of the International Institute for General Systems Studies(国际一般系统理论研究会中国概率统计学会第二届学术会议IIGSS-CPS2010)

会议地点: 南京

会议语种:英文

页码: 137-141

在线出版日期: 2010-07-29（万方平台首次上网日期，不代表论文的发表时间）