Option prices by differential evolution

Maria Guerra, Laerte Sorini () and Luciano Stefanini ()
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Laerte Sorini: Department of Economics, Society & Politics, Università di Urbino "Carlo Bo

No 1511, Working Papers from University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini

Abstract: Option price models in uncertainty conditions may be the proper way to show that the possibilistic mean values produce computation results that may differ in a non trivial may from those obtained with the fuzzy extension principle. In this paper we compare several models for option prices to underline the relevance of the applied methodologies. Length: 13 pages

JEL-codes: C61 G12 (search for similar items in EconPapers)
Date: 2015, Revised 2015
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http://www.econ.uniurb.it/RePEc/urb/wpaper/WP_15_11.pdf First version, 2015 (application/pdf)

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