PRICING STOCK OPTIONS USING FUZZY SETS

We use the basic binomial option pricing method but allow someor all the parameters in the model to be uncertain and model this uncertaintyusing fuzzy numbers. We show that with the fuzzy model we can, with areasonably small number of steps, consider almost all possible future stockprices; whereas the crisp model can consider only n + ۱ prices after n steps.

کلیدواژه ها:

Pricing Options ، Binomial methods ، Fuzzy numbers