Binomial Model of Option Pricing Using Fuzzy Set Theory

Student: Safin Vladlen

Educational Programme: Applied Economics (Master)

Year of Graduation: 2020

The main motivation for using fuzzy numbers in mathematical options pricing models is the need to account for the uncertainty and imprecision of the data used. The use of fuzzy methods in finance provides an alternative to methods using random variables. But the alternative does not mean replacement, since a fuzzy approach is only an additional way to address the issue of accounting for data uncertainty. There are many methods of using fuzzy numbers for various mathematical models of option pricing, but the main focus of this work is the use of fuzzy numbers to find the price of an option in accordance with the binomial model.

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