University of Sistan and BaluchestanIranian Journal of Fuzzy Systems1735-06544220071009PRICING STOCK OPTIONS USING FUZZY SETSPRICING STOCK OPTIONS USING FUZZY SETS11436510.22111/ijfs.2007.365ENJames J.BuckleyDepartment of Mathematics, University of Alabama at Birmingham,
Birmingham, Al 35209, USAEsfandiarEslamiDepartment of Mathematics, Shahid Bahonar University of Kerman,
Kerman and Institute for Studies in Theoretical Physics and Mathematics(IPM),
Tehran, IranJournal Article20070109We use the basic binomial option pricing method but allow some<br />or all the parameters in the model to be uncertain and model this uncertainty<br />using fuzzy numbers. We show that with the fuzzy model we can, with a<br />reasonably small number of steps, consider almost all possible future stock<br />prices; whereas the crisp model can consider only n + 1 prices after n steps.https://ijfs.usb.ac.ir/article_365_166ca7566fde953dc5de7ad3e33575c6.pdf