Discuss the no-arbitrage principle in a fuzzy market and present a model for pricing an option. Get a fuzzy price for the contingent claim in a market involving fuzzy elements, whose level set can be seen as the possi...Discuss the no-arbitrage principle in a fuzzy market and present a model for pricing an option. Get a fuzzy price for the contingent claim in a market involving fuzzy elements, whose level set can be seen as the possible price level interval with given belief degree. Use fuzzy densit） function and fuzzy mean as evidence for such model. Also give an example for comparing the result of the model in this article and that of another pricing method.展开更多
The scattering length formula was formulated and proved in special cases by Kac in 1974 and 1975.It was discussed by a series of authors,including Taylor 1976,Tamura 1992 and Takahashi 1990.The formula was proved by T...The scattering length formula was formulated and proved in special cases by Kac in 1974 and 1975.It was discussed by a series of authors,including Taylor 1976,Tamura 1992 and Takahashi 1990.The formula was proved by Takeda 2010 in symmetric case and by He 2011 assuming weak duality.In this article,we shall use the powerful tool of Kutznetsov measures to prove this formula in the general framework of right Markov processes without further assumptions.展开更多
文摘Discuss the no-arbitrage principle in a fuzzy market and present a model for pricing an option. Get a fuzzy price for the contingent claim in a market involving fuzzy elements, whose level set can be seen as the possible price level interval with given belief degree. Use fuzzy densit） function and fuzzy mean as evidence for such model. Also give an example for comparing the result of the model in this article and that of another pricing method.
基金supported by National Natural Science Foundation of China(Grant Nos.11271240 and 11071044)
文摘The scattering length formula was formulated and proved in special cases by Kac in 1974 and 1975.It was discussed by a series of authors,including Taylor 1976,Tamura 1992 and Takahashi 1990.The formula was proved by Takeda 2010 in symmetric case and by He 2011 assuming weak duality.In this article,we shall use the powerful tool of Kutznetsov measures to prove this formula in the general framework of right Markov processes without further assumptions.
