✦ LIBER ✦
Pricing a contingent claim with random interval or fuzzy random payoff in one-period setting
✍ Scribed by Surong You; Jiajin Le; Xiaodong Ding
- Book ID
- 104008294
- Publisher
- Elsevier Science
- Year
- 2008
- Tongue
- English
- Weight
- 436 KB
- Volume
- 56
- Category
- Article
- ISSN
- 0898-1221
No coin nor oath required. For personal study only.
✦ Synopsis
This article proposes a method for pricing a contingent claim with random interval and fuzzy random payoff. On introduction of the acceptability concept based on classical noarbitrage argument, a price interval and a fuzzy price are obtained in random interval market and fuzzy random market, respectively. New definitions on replicative strategies, sub-replicative and sup-replicative ones, in two market setting are given. Some interesting results similar to those in the classical random market are presented.