Abstract:
The main purpose of this paper is to valuate lookback options in uncertain environment. By applying fuzzy set theory, the valuation of fuzzy lookback options is developed...Show MoreMetadata
Abstract:
The main purpose of this paper is to valuate lookback options in uncertain environment. By applying fuzzy set theory, the valuation of fuzzy lookback options is developed. The prices of lookback options are turned into fuzzy numbers. A lookback option has payoffs according on the maximum and minimum of the underlying price actualized during the option's lifetime. This makes financial analysts could take any price with an acceptable belief degree for their later use.
Date of Conference: 29-31 May 2012
Date Added to IEEE Xplore: 09 July 2012
ISBN Information: