A new method to solve fuzzy stochastic finance problem

Jayanta Kumar Dash, Sumitra Panda and Golak Bihari Panda

Journal of Economic Studies, 2021, vol. 49, issue 2, 243-258

Abstract: Purpose - The authors discuss the value of portfolio and Black–Scholes (B–S)-option pricing model in fuzzy environment. Design/methodology/approach - The B–S option pricing model (OPM) is an important role of an OPM in finance. Here, every decision is taken under uncertainty. Due to randomness or vagueness, these uncertainties may be random or fuzzy or both. As the driftµ, the degree of volatilitys, interest rater, strike pricekand other parameters of the value of the portfolioV(t), market priceS_0 (t) and call optionC(t) are not known exactly, so they are treated as positive fuzzy number. Partial expectation of fuzzy log normal distribution is derived. Also the value of portfolio at any timetand the B–S OPM in fuzzy environment are derived. A numerical example of B–S OPM is illustrated. Findings - First, the authors are studying some various paper and some stochastic books. Originality/value - This is a new technique.

Keywords: European call price; Strike price; Positive fuzzy number; Fuzzy geometric Brownian motion (FGBM); Fuzzy log normal distribution; Fuzzy Ito integral (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:jespps:jes-10-2020-0521

DOI: 10.1108/JES-10-2020-0521

Access Statistics for this article

Journal of Economic Studies is currently edited by Prof Mohsen Bahmani-Oskooee

More articles in Journal of Economic Studies from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().