系数为梯形模糊数B-S模型欧式看涨期权定价

The Pricing of European Call Option in B-S Model with Coefficients of Trapezoidal Fuzzy Number

在系数为梯形模糊数的情况下,研究布莱克斯科尔斯模型的资产价格和欧式看涨期权定价问题。首先,通过对系数为梯形模糊数的布莱克斯科尔斯模型的分析,给出梯形模糊数欧式看涨期权定价的概念;进而得到其隶属函数的具体表达式;最后通过实例验证其在应用中的有效性。

In this paper,the asset price and the pricing of European call option of the Black-Scholes model coefficients are studied in the cases that the coefficients are trapezoidal fuzzy numbers.Firstly,the concept of European call option price of trapezoid fuzzy number is given by analyzing the Black-Scholes model with trapezoidal fuzzy number.Secondly,we analyze the asset price and the European call option pricing of trapezoidal fuzzy number from the Black-Scholes model,and obtain the concrete expression of its membership function.Finally,an example is given to verify the availability of the proposed method.