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Compound Option Pricing under Fuzzy Environment Revisit

Journal: International Journal of Scientific Engineering and Research (IJSER) (Vol.7, No. 10)

Publication Date:

Authors : ;

Page : 5-8

Keywords : Compound Option Pricing; Fuzzy;

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Wang, He and Li published a paper in Journal of Applied Mathematics (Volume 2014, Article ID 875319, 9 pages) to develop a compound option pricing under fuzzy environment. However, we find that they implicitly assumed the crisp possibilistic mean value being commuting with fuzzy multiplication and fuzzy division. In this paper, we show that their assumptions are not valid to reveal that their theoretical derivations needed further improvement.

Last modified: 2021-07-08 16:40:14