IEEE - Institute of Electrical and Electronics Engineers, Inc. - Pricing Asian options using fuzzy sets theory

2010 International Conference on Artificial Intelligence and Education (ICAIE)

Author(s): Huirong Zhan
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 October 2010
Conference Location: Hangzhou, China, China
Conference Date: 29 October 2010
Page(s): 226 - 230
ISBN (CD): 978-1-4244-6934-5
ISBN (Electronic): 978-1-4244-6936-9
ISBN (Paper): 978-1-4244-6935-2
DOI: 10.1109/ICAIE.2010.5641448
Regular:

This paper studies the valuation of Asian options with fuzzy sets theory. In order to overcome the problem of imprecise parameters under uncertain environment, we introduce the fuzzy underlying... View More

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