DocumentCode
2540896
Title
A heuristic pricing formula of fuzzy lookback options in uncertain environment
Author
Cheng, Jao-Hong ; Lee, Chung-Chuan ; Chen, Huei-Ping
Author_Institution
Dept. of Inf. Manage., Nat. Yunlin Univ. of Sci. & Technol., Yunlin, Taiwan
fYear
2012
fDate
29-31 May 2012
Firstpage
515
Lastpage
519
Abstract
The main purpose of this paper is to valuate lookback options in uncertain environment. By applying fuzzy set theory, the valuation of fuzzy lookback options is developed. The prices of lookback options are turned into fuzzy numbers. A lookback option has payoffs according on the maximum and minimum of the underlying price actualized during the option´s lifetime. This makes financial analysts could take any price with an acceptable belief degree for their later use.
Keywords
fuzzy set theory; pricing; financial analysts; fuzzy lookback options; fuzzy numbers; heuristic pricing formula; Cost accounting; Economic indicators; Equations; Fuzzy set theory; Fuzzy sets; Pricing; Standards; fuzzy lookback option; fuzzy number formatting; lookback option; valuation;
fLanguage
English
Publisher
ieee
Conference_Titel
Fuzzy Systems and Knowledge Discovery (FSKD), 2012 9th International Conference on
Conference_Location
Sichuan
Print_ISBN
978-1-4673-0025-4
Type
conf
DOI
10.1109/FSKD.2012.6233717
Filename
6233717
Link To Document