Book review: "Advances in Data Analysis" by C. H. Skiadas
Books review: ''Laws of Small Numbers: Extreme and Rare Events'' by M. Falk, J. Hüsler and R.-D. Reiß
On some method for diagnosing convergence in MCMC setups via atoms and renewal sets
Convergence diagnosis to stationary distribution in MCMC methods via atoms and renewal sets
A fuzzy approach to option pricing in a Levy process setting
In this paper the problem of European option valuation in a Levy process setting is analysed. In our model the underlying asset follows a geometric Levy process. The jump part of the log-price process, which is a linear combination of Poisson processes, describes upward and downward jumps in price. The proposed pricing method is based on stochastic analysis and the theory of fuzzy sets. We assume that some parameters of the financial instrument cannot be precisely described and therefore they are...
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