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  • Search: subject:"fuzzy binomial OPM"
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a generalized CRR model 1 fuzzy binomial OPM 1 fuzzy set theory 1 option pricing model (OPM) 1 portfolio strategy 1 triangular fuzzy number 1
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Lee, Cheng 1 Tzeng, Gwo-Hshiung 1 Wang, Shin-Yun 1
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Review of Quantitative Finance and Accounting 1
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A Fuzzy Set Approach for Generalized CRR Model: An Empirical Analysis of S&P 500 Index Options
Lee, Cheng; Tzeng, Gwo-Hshiung; Wang, Shin-Yun - In: Review of Quantitative Finance and Accounting 25 (2005) 3, pp. 255-275
empirical analysis of S&P 500 index options is used to find that the fuzzy binomial OPM is much closer to the reality than the … binomial OPM, investors can correct their portfolio strategy according to the right and left value of triangular fuzzy number … article we use fuzzy volatility and fuzzy riskless interest rate to replace the corresponding crisp values. In the fuzzy …
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