A MODEL FOR PRICING AND OPTION WITH A FUZZY PAYOFF

• DOI: 10.25102/fer.2001.01.03
• Publication Date: 2018-09-17T11:19:50Z
• Authors: Silvia Muzzioli; Costanza Torricelli
• Keywords: Stochastic game; Trinomial tree; Risk-neutral measure

This paper sets up a one period model for pricing an option with fuzzy payoff. The is written on underlying asset that has price at the end of period, modelled by means triangular numbers. methodology used standard derivatives, i.e. so called risk neutral valuation. Combining Binomial Option Pricing Model representation payoff offers some advantages. First it provides intuitive way looking future asset. Second includes results Standard Model, allowing market to have different levels information.