The solution of fuzzy linear systems by non-linear programming: a financial application

Fuzzy linear systems of equations play a major role in various financial applications. In this paper we analyse a particular fuzzy linear system: the derivation of the risk neutral probabilities in a fuzzy binary tree. This system has previously been investigated and different solutions to different...

Celý popis

Uloženo v:
Podrobná bibliografie
Vydáno v:European journal of operational research Ročník 177; číslo 2; s. 1218 - 1231
Hlavní autoři: Muzzioli, Silvia, Reynaerts, Huguette
Médium: Journal Article
Jazyk:angličtina
Vydáno: Amsterdam Elsevier B.V 01.03.2007
Elsevier
Elsevier Sequoia S.A
Edice:European Journal of Operational Research
Témata:
Algorithms
Analysis
Applied sciences
Binary tree model
Exact sciences and technology
Fuzzy linear systems
Fuzzy sets
Linear programming
Nonlinear programming
Operational research. Management science
Fuzzy linear systems
Binary tree model
Fuzzy sets
Fuzzy logic
Fuzzy system
Linear system
Probabilistic approach
Binary tree
Linear programming
Fuzzy set
Non linear system
ISSN:0377-2217, 1872-6860
On-line přístup:Získat plný text
Tagy: Přidat tag
Žádné tagy, Buďte první, kdo vytvoří štítek k tomuto záznamu!
Popis
Shrnutí:Fuzzy linear systems of equations play a major role in various financial applications. In this paper we analyse a particular fuzzy linear system: the derivation of the risk neutral probabilities in a fuzzy binary tree. This system has previously been investigated and different solutions to different forms of the same system have been proposed. The aim of this paper is twofold. First, we highlight that the different solutions proposed, arise from different forms of the same system. Second, in order to find a unique vector solution for the system, we propose a practical algorithm that boils down to the solution of a non-linear optimization problem.
Bibliografie:SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 14
ISSN:0377-2217
1872-6860
DOI:10.1016/j.ejor.2005.10.055