I-Ming Jiang
Assistant Professor, Yuan Ze University, Taiwan.
S. C. Lee
Associate Professor, Yuan Ze University, Taiwan.
Yu-Hong Liu
Assistant Professor, National Cheng Kung University, Taiwan.
Po-Yuan Chen
Lecturer, Jinwen University, Taiwan.A Simple Formula for European Option under
Time-Changed Lévy Processes with Imprecise
Market Information
This study presents a time-changed Lévy model for European call
options in a fuzzy environment. The proposed model is capable of
incorporating high frequency jump component in the return process
and generating stochastic volatility for the jump and diffusion
component and dealing with market variables in a rapidly changing
financial market. Because of investors receive only imperfect and
uncertainty accounting information, this paper takes advantage of
fuzzy logic to characterize the accounting information uncertainty
related to the jump numbers and amplitudes in the model, and
provides reasonable and reference instrument for future research on
option pricing under the type of jump diffusion model and imprecise
market information.