Fuzziness in valuing financial instruments by certainty equivalents

Fuzziness in valuing financial instruments by certainty equivalents

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Article ID: iaor20021791
Country: Netherlands
Volume: 135
Issue: 2
Start Page Number: 296
End Page Number: 302
Publication Date: Dec 2001
Journal: European Journal of Operational Research
Authors:
Keywords: fuzzy sets
Abstract:

Our aim is to use the utility theory of von Neumann and Morgenstern and the approach of certainty equivalent (CE) in a fuzzy framework for pricing a future uncertain amount. The fuzzy theory is more adaptable to represent this problem because the financial evaluations depend on perspectives which are fuzzy known. Then we define a seller and buyer fuzzy financial CE.

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