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Pricing European Options Based on the Hesitancy Degree of Investors

14 Pages Posted: 11 Feb 2015  

Lei Ming

Hunan University - School of Finance and Statistics

Shenggang Yang

Hunan University - School of Finance and Statistics

Date Written: February 10, 2015

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

Suggested Citation

Ming, Lei and Yang, Shenggang, Pricing European Options Based on the Hesitancy Degree of Investors (February 10, 2015). Asian Finance Association (AsianFA) 2015 Conference Paper. Available at SSRN: https://ssrn.com/abstract=2562849 or http://dx.doi.org/10.2139/ssrn.2562849

Lei Ming (Contact Author)

Hunan University - School of Finance and Statistics ( email )

Shijiachong Road 109#
Changsha, Hunan 410079
China

Shenggang Yang

Hunan University - School of Finance and Statistics ( email )

Shijiachong Road 109#
Changsha, Hunan 410079
China

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