Compound Option Pricing under Fuzzy Environment

Table 1

The numerical results of 𝑆_∗ and 𝐶 under Black-Scholes model.

𝑆	𝐾1	𝐾2	𝑇1	𝑇2	𝑟	𝜎	𝑆∗	𝐶
90	5	90	0.5	1	0.05	0.3	82.8336	8.8868
95	5	90	0.5	1	0.05	0.3	82.8336	11.8885
105	5	90	0.5	1	0.05	0.3	82.8336	18.9879
100	4	90	0.5	1	0.05	0.3	80.3707	16.0888
100	4.5	90	0.5	1	0.05	0.3	81.6430	15.6766
100	6	90	0.5	1	0.05	0.3	85.0172	14.4955
100	5	80	0.5	1	0.05	0.3	74.8669	21.7684
100	5	85	0.5	1	0.05	0.3	78.8616	18.3432
100	5	95	0.5	1	0.05	0.3	86.7835	12.5739
100	5	90	0.25	1	0.05	0.3	78.3652	14.8361
100	5	90	0.55	1	0.05	0.3	83.8285	15.3843
100	5	90	0.75	1	0.05	0.3	88.2795	15.8987
100	5	90	0.5	0.75	0.05	0.3	88.2795	13.6596
100	5	90	0.5	1	0.05	0.3	82.8336	15.2744
100	5	90	0.5	1.25	0.05	0.3	78.3652	16.8882
100	5	90	0.5	1	0.04	0.3	83.1909	14.7403
100	5	90	0.5	1	0.055	0.3	82.6556	15.5449
100	5	90	0.5	1	0.06	0.3	82.4780	15.8173
100	5	90	0.5	1	0.05	0.25	85.4360	13.6727
100	5	90	0.5	1	0.05	0.32	81.7635	15.9318
100	5	90	0.5	1	0.05	0.35	80.1417	16.9306