Option Valuation based on Fuzzy Theory in Risk Management

摘要

Evaluation of the option is considerable importance in risk management. This paper shows that options can be valued based on fuzzy theory, where the volatility is depicted as a simple fuzzy variable. And then a random fuzzy option pricing model with fuzzy volatility and the fuzzy intensity is proposed. In addition, the methods of how to derive the expected value of fuzzy option price are discussed. Finally, numerical examples are given to demonstrate the idea in the fuzzy option pricing models.