Table of Contents Author Guidelines Submit a Manuscript
Journal of Applied Mathematics
Volume 2014, Article ID 635898, 7 pages
http://dx.doi.org/10.1155/2014/635898
Research Article

Fuzzy Optimization of Option Pricing Model and Its Application in Land Expropriation

College of Economics and Business Administration, Chongqing University, Chongqing 400044, China

Received 11 April 2014; Accepted 8 June 2014; Published 17 July 2014

Academic Editor: Jian-Wen Peng

Copyright © 2014 Aimin Heng et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. C. Carlsson, R. Fullér, M. Heikkilä, and P. Majlender, “A fuzzy approach to R&D project portfolio selection,” International Journal of Approximate Reasoning, vol. 44, no. 2, pp. 93–105, 2007. View at Publisher · View at Google Scholar · View at Scopus
  2. C. Carlsson and R. Fuller, “A fuzzy approach to real option valuation,” Fuzzy Sets and Systems, vol. 139, no. 2, pp. 297–312, 2003. View at Publisher · View at Google Scholar · View at MathSciNet · View at Scopus
  3. Y. Yoshida, “The valuation of European options in uncertain environment,” European Journal of Operational Research, vol. 145, no. 1, pp. 221–229, 2003. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet · View at Scopus
  4. Z. Zmeškal, “Application of the fuzzy-stochastic methodology to appraising the firm value as a European call option,” European Journal of Operational Research, vol. 135, no. 2, pp. 303–310, 2001. View at Publisher · View at Google Scholar · View at MathSciNet · View at Scopus
  5. F. Liu, “Pricing currency options based on fuzzy techniques,” European Journal of Operational Research, vol. 193, no. 2, pp. 530–540, 2009. View at Publisher · View at Google Scholar · View at Scopus
  6. H. Wu, “Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options,” Applied Mathematics and Computation, vol. 185, no. 1, pp. 136–146, 2007. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet · View at Scopus
  7. H. H. Po and Q. W. Hua, “Method and application of enterprise value evaluation in M&A based on real options,” Systems Engineering-Theory Methodology Applications, no. 2, pp. 11–16, 2005. View at Google Scholar
  8. D. M. Zhu, T. C. Zhang, D. L. Chen, and H.X. Gao, “A new fuzzy pricing approach to real options,” Journal of Northeastern University (Natural Science), vol. 29, no. 11, pp. 1544–1547, 2008. View at Google Scholar · View at MathSciNet · View at Scopus
  9. L. Shuxia, “Recent developments in option pricing theory under fuzzy environment,” Journal of Xidian University, no. 5, pp. 51–55, 2008. View at Google Scholar
  10. J. J. Kong and Y. K. Kwok, “Real options in strategic investment games between two asymmetric firms,” European Journal of Operational Research, vol. 181, no. 2, pp. 967–985, 2007. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at Scopus
  11. K. Thiagarajah, S. S. Appadoo, and A. Thavaneswaran, “Option valuation model with adaptive fuzzy numbers,” Computers & Mathematics with Applications, vol. 53, no. 5, pp. 831–841, 2007. View at Publisher · View at Google Scholar · View at MathSciNet · View at Scopus
  12. K. A. Chrysafis and B. K. Papadopoulos, “On theoretical pricing of options with fuzzy estimators,” Journal of Computational and Applied Mathematics, vol. 223, no. 2, pp. 552–566, 2009. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at Scopus
  13. M. L. Guerra, L. Sorini, and L. Stefanini, “Parametrized fuzzy numbers for option pricing,” in Proceedings of the IEEE International Conference on Fuzzy Systems (FUZZ-IEEE '07), pp. 1–6, IEEE, London, UK, July 2007. View at Publisher · View at Google Scholar · View at Scopus
  14. S. Muzzioli and H. Reynaerts, “American option pricing with imprecise risk-neutral probabilities,” International Journal of Approximate Reasoning, vol. 49, no. 1, pp. 140–147, 2008. View at Publisher · View at Google Scholar · View at Scopus
  15. J. Wang and W.-L. Hwang, “A fuzzy set approach for R&D portfolio selection using a real options valuation model,” Omega, vol. 35, no. 3, pp. 247–257, 2007. View at Publisher · View at Google Scholar · View at Scopus
  16. B. Liu, Uncertainty Theory, vol. 154 of Studies in Fuzziness and Soft Computing, Springer, Berlin, Germany, 2nd edition, 2007. View at Publisher · View at Google Scholar · View at MathSciNet
  17. C. Lee, G. Tzeng, and S. Wang, “A new application of fuzzy set theory to the Black-Scholes option pricing model,” Expert Systems with Applications, vol. 29, no. 2, pp. 330–342, 2005. View at Publisher · View at Google Scholar · View at Scopus
  18. R. Geske, “The valuation of compound options,” Journal of Financial Economics, vol. 7, no. 1, pp. 63–81, 1979. View at Publisher · View at Google Scholar · View at Scopus
  19. E. Agliardi and R. Agliardi, “A generalization of the Geske formula for compound options,” Elsevier Mathematical Social Sciences, vol. 45, no. 1, pp. 75–82, 2003. View at Publisher · View at Google Scholar · View at MathSciNet · View at Scopus