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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2017-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2017/9762841 |