Title :
A Parameterization of Fuzzy Numbers for Fuzzy Calculus and Application to the Fuzzy Black-Scholes Option Pricing
Author :
Stefanini, Luciano ; Sorini, Laerte ; Guerra, Maria Letizia
Author_Institution :
Univ. of Urbino, Urbino
Abstract :
The paper is organized as follows: section 2 contains a brief description of the fuzzy calculus with the LU-fuzzy model and in section 3 we describe the detailed algorithms which implement the LU-fuzzy extension principle. Section 4 contains the description of the LU-fuzzy calculator and its illustration to the application in the Black and Scholes fuzzy option pricing.
Keywords :
calculus; fuzzy set theory; number theory; pricing; share prices; LU-fuzzy calculator model; LU-fuzzy extension principle; fuzzy Black-Scholes option pricing; fuzzy calculus; fuzzy number theory; Arithmetic; Bibliographies; Calculus; Error correction; Fuzzy control; Fuzzy sets; Interpolation; Mathematical model; Mathematics; Pricing;
Conference_Titel :
Fuzzy Systems, 2006 IEEE International Conference on
Conference_Location :
Vancouver, BC
Print_ISBN :
0-7803-9488-7
DOI :
10.1109/FUZZY.2006.1681712
