Application of Levy processes and Esscher transformed martingale measures for option pricing in fuzzy framework

In this paper we consider the European option valuation problem. We assume that the underlying asset follows a geometric Levy process. The log-price is a sum of a Brownian motion with drift and a linear combination of Poisson processes describing jumps in price. In our approach we use martingale method and theory of fuzzy sets. To obtain the European call… CONTINUE READING