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Option pricing formulas for generalized fuzzy stock model

  • * Corresponding author: Cuilian You

    * Corresponding author: Cuilian You 
The first author is supported by NSFC grant (No.61773150) and Key Lab. of Machine Learning and Computational Intelligence, College of Mathematics and Information Science, Hebei University, Baoding, 071002, China.
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  • Fuzzy stock model has been studied by many scholars in recent years, in which option pricing problem is the most important part. In this paper, we studied option pricing for a new generalized fuzzy stock model. Based on credibility theory, pricing formulas of European option and American option were obtained.

    Mathematics Subject Classification: Primary: 91B25, 91B26; Secondary: 91B24.

    Citation:

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