A Pricing Model of Fuzzy Rainbow Options

机译：模糊彩虹选项定价模型

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The studies of financial derivatives such as options are emerging prosperously. The rainbow options which link to two or more underlying assets get more concerns increasingly because of more flexibility to support diversification and more available investment strategies than one-asset options. Nevertheless, imprecise evaluation of input parameters usually results in misestimation of option value. In order to handle vague and imprecise problems, This paper extend Lee et al.''s [6] fuzzy Black-Scholes option pricing model in place of one-asset with multi-asset to develop a fuzzy multi-asset rainbow option pricing model with analytical approach which integrates fuzzy set theory and Bayesian theorem.

机译：金融衍生品如期权的研究是繁荣的。彩虹选项链接到两个或多个潜在资产的链接越来越多地获得更多疑虑，因为能够更灵活地支持多样化和更多的投资策略而不是单资产选项。尽管如此，对输入参数的不精确评估通常会导致期权值的折射率。为了处理模糊和不精确的问题，本文扩展了Lee等人。'的[6]模糊黑斯科斯选项定价模型代替多资产的单资产，开发模糊多资产彩虹选项定价模型采用分析方法，集模理论与贝叶斯定理集成。

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《International Conference on Innovative Computing, Information and Control》|2007年||共1页
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Cheng Jao-Hong; Lee Chen-Yu; ICICIC;
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中图分类自动化技术、计算机技术;
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4. A Pricing Model of Fuzzy Rainbow Options [C] . Cheng Jao-Hong, Lee Chen-Yu, ICICIC International Conference on Innovative Computing, Information and Control . 2007

机译：模糊彩虹选项定价模型
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7. Commodity prices have risen sharply since 2006. This may benefit developing countries specialized on primary exports, but poverty may increase. Uruguay is a net exporter of primary products and a net importer of oil. With the aim of analyzing the impact of soaring commodity prices and policy options, we apply a CGE model and microsimulations. A rise in food prices has a positive impact on the Uruguayan economy that is partially offset by the increase in oil prices. Even when poorest households’ income rises, their welfare falls because their consumption basket becomes more expensive. Poverty falls but extreme poverty increases. A policy of transfers to the poorest households seems to be the most efficient policy option to compensate poor households. [O] . Carmen Estrades, María Inés Terra 100

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A Pricing Model of Fuzzy Rainbow Options

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