The Total Return Swap Pricing Model under Fuzzy Random Environments
This paper models the jump amplitude and frequency of random parameters of asset value as a triangular fuzzy interval. In other words, we put forward a new double exponential jump diffusion model with fuzziness, express the parameters in terms of total return swap pricing, and derive a fuzzy form pr...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2017-01-01
|
| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2017/9762841 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!