资产或无值看涨期权(asset or nothing call,AONC)是欧式期权的一种推广,由于股票价格随着市场的波动,很难得到精确的期权价格。首先推导出确定情形下AONC期权,并将股票价格和波动率模糊化,得到AONC期权的模糊定价模型,最后结合算例得...资产或无值看涨期权(asset or nothing call,AONC)是欧式期权的一种推广,由于股票价格随着市场的波动,很难得到精确的期权价格。首先推导出确定情形下AONC期权,并将股票价格和波动率模糊化,得到AONC期权的模糊定价模型,最后结合算例得到在给定置信度下期权的价格区间和最大置信度下AONC期权价格。展开更多
Discuss the no-arbitrage principle in a fuzzy market and present a model for pricing an option. Get a fuzzy price for the contingent claim in a market involving fuzzy elements, whose level set can be seen as the possi...Discuss the no-arbitrage principle in a fuzzy market and present a model for pricing an option. Get a fuzzy price for the contingent claim in a market involving fuzzy elements, whose level set can be seen as the possible price level interval with given belief degree. Use fuzzy densit） function and fuzzy mean as evidence for such model. Also give an example for comparing the result of the model in this article and that of another pricing method.展开更多
Based on linguistic evaluations, a linguistic threeway decision method is proposed. First, the alternatives are rated in linguistic forms and divided into acceptance, rejection and uncertainty regions. Secondly, the l...Based on linguistic evaluations, a linguistic threeway decision method is proposed. First, the alternatives are rated in linguistic forms and divided into acceptance, rejection and uncertainty regions. Secondly, the linguistic three-way group decision steps are provided. Specifically, the experts determine the lower bound and upper bound of the uncertainty region, respectively. When the evaluation is superior to the upper bound, the corresponding alternative is put into the acceptance region directly. Similarly, when the evaluation is inferior to the lower bound, the corresponding alternative is put into the rejection region directly, and the remaining alternatives are put into the uncertain region. Moreover, the objects in the uncertainty region are especially discussed. The linguistic terms are transformed into fuzzy numbers and then aggregated. Finally, a recommendation example is provided to illustrate the practicality and validity of the proposed method.展开更多
A model of using binomial tree pricing formulae in a fuzzy market is proposed. In the fuzzy market, a price interval can be got according to the belief degree. The rule for the reasonability of the price interval is p...A model of using binomial tree pricing formulae in a fuzzy market is proposed. In the fuzzy market, a price interval can be got according to the belief degree. The rule for the reasonability of the price interval is proposed. The explicit expression of the interval is discussed in some special settings.展开更多
A comprehensive evaluation model based on improved set pair analysis is established. Considering the complexity in decision-making process, the model combines the certainties and uncertainties in the schemes, i.e., id...A comprehensive evaluation model based on improved set pair analysis is established. Considering the complexity in decision-making process, the model combines the certainties and uncertainties in the schemes, i.e., identical degree, different degree and opposite degree. The relations among different schemes are studied, and the traditional way of solving uncertainty problem is improved. By using the gray correlation to determine the difference degree, the problem of less evaluation indexes and inapparent linear relationship is solved. The difference between the evaluation parameters is smaller in both the fuzzy comprehensive evaluation model and fuzzy matter-element method, and the dipartite degree of the evaluation result is unobvious. However, the difference between each integrated connection degree is distinct in the improved set pair analysis. Results show that the proposed method is feasible and it obtains better effects than the fuzzy comprehensive evaluation method and fuzzy matter-element method.展开更多
Sustainability is popularly defined as meeting the needs of the present generation without compromising the ability of future generations to meet their own needs. Social, economic and environmental parameters are most...Sustainability is popularly defined as meeting the needs of the present generation without compromising the ability of future generations to meet their own needs. Social, economic and environmental parameters are most commonly accepted as the three pillars of sustainability. In this paper, various sustainability indicators have been identified during the construction stage for elevated transportation corridors and thereafter classified under various categories. Using fuzzy VIKOR technique, sustainability evaluation of transportation corridors is made on two selected project sites of two different government organizations using various identified sustainability indicators, i.e., a 3.2-km long elevated road project under construction from Vikaspuri to Meerabagh in West Delhi by PWD （Public Works Department） and the metro rail elevated corridor （part） from Punjabi Bagh to Mayapuri as a part of Phase 3, Line 7 by DMRC （Delhi Metro Rail Corporation）. The study is made at both sites in the midst of the construction period and it is identified that during the construction stage, the sustainability of these transportation corridors is just not limited to three pillars, but in actuality, it is much beyond that. From the study, it is inferred that the metro rail elevated corridor is a more sustainable corridor, in the context of the identified sustainability indicators.展开更多
文摘资产或无值看涨期权(asset or nothing call,AONC)是欧式期权的一种推广,由于股票价格随着市场的波动,很难得到精确的期权价格。首先推导出确定情形下AONC期权,并将股票价格和波动率模糊化,得到AONC期权的模糊定价模型,最后结合算例得到在给定置信度下期权的价格区间和最大置信度下AONC期权价格。
文摘Discuss the no-arbitrage principle in a fuzzy market and present a model for pricing an option. Get a fuzzy price for the contingent claim in a market involving fuzzy elements, whose level set can be seen as the possible price level interval with given belief degree. Use fuzzy densit） function and fuzzy mean as evidence for such model. Also give an example for comparing the result of the model in this article and that of another pricing method.
基金The National Natural Science Foundation of China(No.71171048,71371049)the Scientific Innovation Research of College Graduates in Jiangsu Province(No.KYLX15-0190)the Scientific Research Foundation of Graduate School of Southeast University(No.YBJJ1567)
文摘Based on linguistic evaluations, a linguistic threeway decision method is proposed. First, the alternatives are rated in linguistic forms and divided into acceptance, rejection and uncertainty regions. Secondly, the linguistic three-way group decision steps are provided. Specifically, the experts determine the lower bound and upper bound of the uncertainty region, respectively. When the evaluation is superior to the upper bound, the corresponding alternative is put into the acceptance region directly. Similarly, when the evaluation is inferior to the lower bound, the corresponding alternative is put into the rejection region directly, and the remaining alternatives are put into the uncertain region. Moreover, the objects in the uncertainty region are especially discussed. The linguistic terms are transformed into fuzzy numbers and then aggregated. Finally, a recommendation example is provided to illustrate the practicality and validity of the proposed method.
文摘A model of using binomial tree pricing formulae in a fuzzy market is proposed. In the fuzzy market, a price interval can be got according to the belief degree. The rule for the reasonability of the price interval is proposed. The explicit expression of the interval is discussed in some special settings.
基金Supported by Foundation for Innovative Research Groups of National Natural Science Foundation of China(No.51021004)Tianjin Research Program of Application Foundation and Advanced Technology(No.12JCZDJC29200)National Key Technology R&D Program in the 12th Five-Year Plan of China(No.2011BAB10B06)
文摘A comprehensive evaluation model based on improved set pair analysis is established. Considering the complexity in decision-making process, the model combines the certainties and uncertainties in the schemes, i.e., identical degree, different degree and opposite degree. The relations among different schemes are studied, and the traditional way of solving uncertainty problem is improved. By using the gray correlation to determine the difference degree, the problem of less evaluation indexes and inapparent linear relationship is solved. The difference between the evaluation parameters is smaller in both the fuzzy comprehensive evaluation model and fuzzy matter-element method, and the dipartite degree of the evaluation result is unobvious. However, the difference between each integrated connection degree is distinct in the improved set pair analysis. Results show that the proposed method is feasible and it obtains better effects than the fuzzy comprehensive evaluation method and fuzzy matter-element method.
文摘Sustainability is popularly defined as meeting the needs of the present generation without compromising the ability of future generations to meet their own needs. Social, economic and environmental parameters are most commonly accepted as the three pillars of sustainability. In this paper, various sustainability indicators have been identified during the construction stage for elevated transportation corridors and thereafter classified under various categories. Using fuzzy VIKOR technique, sustainability evaluation of transportation corridors is made on two selected project sites of two different government organizations using various identified sustainability indicators, i.e., a 3.2-km long elevated road project under construction from Vikaspuri to Meerabagh in West Delhi by PWD （Public Works Department） and the metro rail elevated corridor （part） from Punjabi Bagh to Mayapuri as a part of Phase 3, Line 7 by DMRC （Delhi Metro Rail Corporation）. The study is made at both sites in the midst of the construction period and it is identified that during the construction stage, the sustainability of these transportation corridors is just not limited to three pillars, but in actuality, it is much beyond that. From the study, it is inferred that the metro rail elevated corridor is a more sustainable corridor, in the context of the identified sustainability indicators.
