نویسنده : J. J. BUCKLEY AND E. ESLAMI
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Abstract
We use the basic binomial option pricing method but allow some or all the parameters in the model to be uncertain and model this uncertainty using fuzzy numbers. We show that with the fuzzy model we can، with a reasonably small number of steps، consider almost all possible future stock prices; whereas the crisp model can consider only n + 1 prices after n steps