✦ LIBER ✦

Fuzzy options with application to default risk analysis for municipal bonds in China

✍ Scribed by Liyan Han; Chengli Zheng

Book ID: 104062385
Publisher: Elsevier Science
Year: 2005
Tongue: English
Weight: 272 KB
Volume: 63
Category: Article
ISSN: 0362-546X
DOI: 10.1016/j.na.2005.02.019

No coin nor oath required. For personal study only.

✦ Synopsis

In contrast to identical rationality, non-identical rationality is laid as the basis for option pricing, realized by a family of non-additive fuzzy measures mathematically, which naturally induces the new concept and analyzing methods, fuzzy options. Then as demonstration, the paper applies the fuzzy options to default risk analysis for municipal bonds in China.