Fuzzy Optimization of Option Pricing Model and Its Application in Land Expropriation

Aimin Heng, Qian Chen and Yingshuang Tan

Journal of Applied Mathematics, 2014, vol. 2014, issue 1

Abstract: Option pricing is irreversible, fuzzy, and flexible. The fuzzy measure which is used for real option pricing is a useful supplement to the traditional real option pricing method. Based on the review of the concepts of the mean and variance of trapezoidal fuzzy number and the combination with the Carlsson‐Fuller model, the trapezoidal fuzzy variable can be used to represent the current price of land expropriation and the sale price of land on the option day. Fuzzy Black‐Scholes option pricing model can be constructed under fuzzy environment and problems also can be solved and discussed through numerical examples.

Date: 2014
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https://doi.org/10.1155/2014/635898

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2014:y:2014:i:1:n:635898

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