Pricing European Options Based on the Hesitancy Degree of Investors

Abstract

Initially, this paper portrays the hesitancy degree of investors and the uncertainty of the estimated value of option price by the Black-Scholes option pricing model under the triangular intuitionistic fuzzy number. And then gives the explicit analytical solution of European options by taking advantage of the risk neutral pricing method. At the same time, this paper gives the numerical analysis and the interval value of the option price. Eventually, the paper analyzes the sensibility of parameters of European options price formula.

Keywords: European Options; Triangular Intuitionistic Fuzzy Number; Hesitancy Degree; Risk Neutral Pricing

JEL Classification: G12, G13