A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty

被引：83

作者：

Yoshida, Yuji ^{[1
]}

Yasuda, Masami

Nakagami, Jun-ichi

Kurano, Masami

机构：

[1] Univ Kitakyushu, Fac Econ & Business Adm, Kitakyushu, Fukuoka 8028577, Japan

[2] Chiba Univ, Fac Sci, Chiba 2638522, Japan

[3] Chiba Univ, Fac Educ, Chiba 2638522, Japan

来源：

FUZZY SETS AND SYSTEMS | 2006年 / 157卷 / 19期

关键词：

fuzzy stochastic process; mean values; evaluation measures; uncertainty modeling; American put option; optimal stopping; possibility-necessity weight; pessimistic-optimistic index; lambda-weighting function;

D O I：

10.1016/j.fss.2003.11.022

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

This paper discusses two topics on fuzzy random variables in decision making. One is a new evaluation method of fuzzy random variables, and the other is to present a mathematical model in financial engineering by fuzzy random variables. The evaluation method is introduced as mean values defined by fuzzy measures, and it is also applicable to fuzzy numbers and fuzzy stochastic process defined by fuzzy random variables. The other is to apply the method to an American put option with uncertainty formulated as an optimal stopping problem for fuzzy random variables, and the randomness and fuzziness are estimated by the probabilistic expectation and the mean values. The optimal expected price of the American put option is given by the mean values with decision maker's subjective parameters. Numerical examples are given to illustrate our idea. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：2614 / 2626

页数：13

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