论文信息 - Option Pricing with Stochastic Volatility Using Fuzzy Sets Theory

Option Pricing with Stochastic Volatility Using Fuzzy Sets Theory

The aim of this paper is to price European options for underlying assets with stochastic volatility (SV) in Heston model in 1993 using fuzzy set theory. The main idea is to transform the probability distribution of stochastic volatility to its possibility distribution (from ‘volatility smile to volatility frown’) and reduce the problem to a fuzzy stochastic process for underlying asset with a new SV as a fuzzy number associated with initial SV. We use then non-linear fuzzy PDE approach to price European options.

A. Ware | A. Swishchuk | H. Li

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