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Fuzzy Optimization and Decision Making

Erschienen in:

12.03.2015

Uncertain contour process and its application in stock model with floating interest rate

verfasst von: Kai Yao

Erschienen in: Fuzzy Optimization and Decision Making | Ausgabe 4/2015

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Abstract

Uncertain process is an important tool to model dynamic uncertain systems. This paper proposes a special type of uncertain processes, named contour processes, whose sample paths can be classified by their inverse uncertainty distributions. It is shown that the set of contour processes is closed under the extreme value operator and the time integral operator as well as the monotone function. As an application, this paper considers an uncertain stock model with floating interest rate, in which both the interest rate and the stock price follow uncertain differential equations. By means of contour processes, some pricing formulas are derived for the European options, American options and Asian options of the stock model.

Vorheriger Artikel A portfolio optimization model based on information entropy and fuzzy time series

Nächster Artikel Likelihood-based assignment methods for multiple criteria decision analysis based on interval-valued intuitionistic fuzzy sets

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Titel: Uncertain contour process and its application in stock model with floating interest rate
verfasst von: Kai Yao
Publikationsdatum: 12.03.2015
Verlag: Springer US
Erschienen in: Fuzzy Optimization and Decision Making / Ausgabe 4/2015
Print ISSN: 1568-4539
Elektronische ISSN: 1573-2908
DOI: https://doi.org/10.1007/s10700-015-9211-y

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