EXPECTED PAYOFF OF TRADING STRATEGIES INVOLVING EUROPEAN OPTIONS FOR FUZZY FINANCIAL MARKET

Document Type: Review Paper

Authors

1 School of Economics and Management, Beihang University, Beijing 100191, China

2 The State Key Laboratory of Rail Traffic Control and Safety, Beijing Jiaotong University, Beijing 100044, China

Abstract

Uncertainty inherent in the financial market was usually consid-
ered to be random. However, randomness is only one special type of uncer-
tainty and appropriate when describing objective information. For describing
subjective information it is preferred to assume that uncertainty is fuzzy. This
paper defines the expected payo
of trading strategies in a fuzzy financial
market within the framework of credibility theory. In addition, a computable
integral form is obtained for expected payo
of each strategy.

Keywords


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