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|Paper IPM / M / 8560||
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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