Fuzzy set theory has emerged as a powerful tool to address the inherent imprecisions and uncertainties in financial modelling, notably in option pricing. By incorporating fuzziness into conventional ...

Implied volatility (IV) is a market's forecast that is often used to help traders determine the correct trading strategies ...

Our method for call options is summarised in the following algorithm: (1) We device the time interval into the grid 0≡t_0<t_1<...<t_n≡T and let D_0,D_1...,D_n be some values for the underlying asset ...

Option pricing is calculated using the Black-Scholes model, which takes four influential factors into account: the price of an underlying stock (assuming constant drift and volatility), an option’s ...