A New Stock Model for Credibilistic Option Pricing

@inproceedings{Gao2008ANS,
  title={A New Stock Model for Credibilistic Option Pricing},
  author={Jinwu Gao and Xin Gao},
  year={2008}
}
Thirty years ago, Black and Scholes assumed that stock price follows geometric Brownian motion, and stochastic financial mathematics was then founded based on this assumption. Recently, professor Baoding Liu proposed the notion of fuzzy process as well as a spectrum of fuzzy calculus. After that, he gave a conjecture that the stock price may also follow geometric Liu process and proposed a fuzzy counterpart of the Black and Scholes model. This paper presents the fuzzy counterpart of the Black… CONTINUE READING