A new application of fuzzy set theory to the Black-Scholes option pricing model.

Cheng-Few Lee Gwo-Hshiung Tzeng Shin-Yun Wang

Published in: Expert Syst. Appl. (2005)

Keyphrases

option pricing
fuzzy set theory
black scholes
neural network
bayesian networks
probability distribution
knowledge discovery
sensitivity analysis
numerical methods
stochastic processes