FUZZY OPTIONS INDUCED BY THE FAMILY OF λ-FUZZY MEASURES AND CHOQUET INTEGRALS

作     者：Liyan Han Juan Zhou Chengli Zheng School of Economics and Management Beihang University Beijing 100083 China Graduate School of Business (PKU SZ) Peking University Shenzhen 518055 China 

会议名称：《第11届国际模糊系统协会世界大会》

会议日期：2005年

学科分类：07[理学] 070104[理学-应用数学] 0701[理学-数学] 

基　　金：The research is supported by National Natural Science Foundation of China  titled as "Research on the pricing methods of options based on the fuzzy measures" (70271010) .It is contributed equally amongall authors 

关 键 词：fuzzy options λ-fuzzy measures Choquet integrals heterogeneity 

摘      要：正 Classical option pricing formulas are facing challenges such as heterogeneity of investors. This paper reveals non-identical rationality with a family ofλ-fuzzy measures and deduces fuzzy price of the option. Further we discuss properties of fuzzy option hedge ratio. We also attempt to apply the fuzzy option to portfolio insurance and credit risk measure. This method could benefit the research of behavioral economics.