Matches in SemOpenAlex for { <https://semopenalex.org/work/W3013196584> ?p ?o ?g. }
Showing items 1 to 76 of
76
with 100 items per page.
- W3013196584 endingPage "4900" @default.
- W3013196584 startingPage "4889" @default.
- W3013196584 abstract "In order to introduce the long memory property of financial markets into the study of binary option pricing under fuzzy environment, the fractional Brownian motion is used to describe the dynamics of the stock price. This paper develops a new framework for pricing the binary option by using fuzzy set theory based on the long memory property of financial markets. The fuzzy price of the binary option is obtained by using a risk-neutral pricing principle and quasi-conditional expectation. To better understand the pricing model, some Greeks of this pricing model are given. In addition, the influence of the Hurst parameter H, a measure of long memory in the financial market, on binary option pricing is analyzed. Finally, the study provides an example that study binary option by fuzzifying the maturity value of the stock price using the triangular fuzzy number. The numerical experiment demonstrates the fuzzy pricing model proposed is rational and practicable." @default.
- W3013196584 created "2020-04-03" @default.
- W3013196584 creator A5014511823 @default.
- W3013196584 creator A5065797296 @default.
- W3013196584 creator A5070233773 @default.
- W3013196584 date "2020-04-30" @default.
- W3013196584 modified "2023-09-26" @default.
- W3013196584 title "Fuzzy pricing of binary option based on the long memory property of financial markets" @default.
- W3013196584 cites W1510269140 @default.
- W3013196584 cites W1968509795 @default.
- W3013196584 cites W1977895070 @default.
- W3013196584 cites W1978436410 @default.
- W3013196584 cites W1984253589 @default.
- W3013196584 cites W2002228445 @default.
- W3013196584 cites W2010633292 @default.
- W3013196584 cites W2022020410 @default.
- W3013196584 cites W2053080603 @default.
- W3013196584 cites W2054804749 @default.
- W3013196584 cites W2094340188 @default.
- W3013196584 cites W2150281008 @default.
- W3013196584 cites W2559969663 @default.
- W3013196584 cites W2563221630 @default.
- W3013196584 cites W4211007335 @default.
- W3013196584 cites W4234260485 @default.
- W3013196584 doi "https://doi.org/10.3233/jifs-191551" @default.
- W3013196584 hasPublicationYear "2020" @default.
- W3013196584 type Work @default.
- W3013196584 sameAs 3013196584 @default.
- W3013196584 citedByCount "5" @default.
- W3013196584 countsByYear W30131965842021 @default.
- W3013196584 countsByYear W30131965842023 @default.
- W3013196584 crossrefType "journal-article" @default.
- W3013196584 hasAuthorship W3013196584A5014511823 @default.
- W3013196584 hasAuthorship W3013196584A5065797296 @default.
- W3013196584 hasAuthorship W3013196584A5070233773 @default.
- W3013196584 hasConcept C149782125 @default.
- W3013196584 hasConcept C154945302 @default.
- W3013196584 hasConcept C159998540 @default.
- W3013196584 hasConcept C162324750 @default.
- W3013196584 hasConcept C181236170 @default.
- W3013196584 hasConcept C1898038 @default.
- W3013196584 hasConcept C194483076 @default.
- W3013196584 hasConcept C36613032 @default.
- W3013196584 hasConcept C41008148 @default.
- W3013196584 hasConcept C58166 @default.
- W3013196584 hasConceptScore W3013196584C149782125 @default.
- W3013196584 hasConceptScore W3013196584C154945302 @default.
- W3013196584 hasConceptScore W3013196584C159998540 @default.
- W3013196584 hasConceptScore W3013196584C162324750 @default.
- W3013196584 hasConceptScore W3013196584C181236170 @default.
- W3013196584 hasConceptScore W3013196584C1898038 @default.
- W3013196584 hasConceptScore W3013196584C194483076 @default.
- W3013196584 hasConceptScore W3013196584C36613032 @default.
- W3013196584 hasConceptScore W3013196584C41008148 @default.
- W3013196584 hasConceptScore W3013196584C58166 @default.
- W3013196584 hasIssue "4" @default.
- W3013196584 hasLocation W30131965841 @default.
- W3013196584 hasOpenAccess W3013196584 @default.
- W3013196584 hasPrimaryLocation W30131965841 @default.
- W3013196584 hasRelatedWork W2208890475 @default.
- W3013196584 hasRelatedWork W2270810533 @default.
- W3013196584 hasRelatedWork W2359153536 @default.
- W3013196584 hasRelatedWork W2372394234 @default.
- W3013196584 hasRelatedWork W2551045083 @default.
- W3013196584 hasRelatedWork W2921338374 @default.
- W3013196584 hasRelatedWork W3183442954 @default.
- W3013196584 hasRelatedWork W4220699096 @default.
- W3013196584 hasRelatedWork W582366967 @default.
- W3013196584 hasRelatedWork W2788380873 @default.
- W3013196584 hasVolume "38" @default.
- W3013196584 isParatext "false" @default.
- W3013196584 isRetracted "false" @default.
- W3013196584 magId "3013196584" @default.
- W3013196584 workType "article" @default.