American Institute of Mathematical Sciences

January  2020, 16(1): 387-396. doi: 10.3934/jimo.2018158

Option pricing formulas for generalized fuzzy stock model

 College of Mathematics and Information Science, Hebei University, Baoding 071002, China

* Corresponding author: Cuilian You

Received  June 2018 Revised  June 2018 Published  September 2018

Fund Project: The first author is supported by NSFC grant (No.61773150) and Key Lab. of Machine Learning and Computational Intelligence, College of Mathematics and Information Science, Hebei University, Baoding, 071002, China.

Fuzzy stock model has been studied by many scholars in recent years, in which option pricing problem is the most important part. In this paper, we studied option pricing for a new generalized fuzzy stock model. Based on credibility theory, pricing formulas of European option and American option were obtained.

Citation: Cuilian You, Le Bo. Option pricing formulas for generalized fuzzy stock model. Journal of Industrial & Management Optimization, 2020, 16 (1) : 387-396. doi: 10.3934/jimo.2018158
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