Fuzzy simulation of European option pricing using mixed fractional Brownian motion.

Sara Ghasemalipour Behrouz Fathi-Vajargah

Published in: Soft Comput. (2019)

Keyphrases

option pricing
fractional brownian motion
stock price
long range
black scholes
non stationary
fuzzy logic
fuzzy sets
fuzzy numbers
decision analysis
stochastic differential equations
black scholes model
sensitivity analysis
multi criteria
real option
long range dependence
mathematical model
co occurrence