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Paper   IPM / M / 8560
School of Mathematics
  Title:   Pricing stock options using black-scholes and fuzzy sets
  Author(s):  E. Eslami (Joint with J. J. Buckley)
  Status:   Published
  Journal: IJFS
  Vol.:  4
  Year:  2008
  Pages:   165-176
  Supported by:  IPM
We use the basic Black-Scholes equation for pricing European stock options but we allow some of the parameters in the model to be uncer�tain and we model this uncertainty using fuzzy numbers. We compute the fuzzy number for the call value of option with and without uncer�tain dividends. This fuzzy set displays the uncertainty in the option's value due to the uncertainty in the input values to the model. We also correct an error in a recent paper which also fuzzified the Black-Scholes equation.

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