Research On The Method Of Fuzzy European Option Pricing

The traditional option pricing models mainly include the Black-Scholes model, binomial tree model and martingale model. On the basis of traditional binomial tree model and martingale model, this paper mainly explores fuzzy European option pricing methods in the uncertain environment. In discrete binomial tree model, this paper mainly discusses the fuzzy European call option pricing methods by using triangular fuzzy numbers to express fuzzy stock prices and by using the risk-neutral probability interval deduced by Sugeno fuzzy measure to replace the traditional risk-neutral probability measure. As for the martingale model in the continuous circumstances, the fuzzy factor was introduced into the stock price process, namely fuzzy stochastic process, a fuzzy price formula for European call option is derived by using risk pricing formula.