TY - CHAP
T1 - Nonstochastic model-based finance engineering
AU - Kaino, Toshihiro
AU - Hirota, Kaoru
PY - 2007
Y1 - 2007
N2 - Most of the models in the field of finance engineering are proposed based on the stochastic theory, e.g., the well-known option pricing model proposed by Black and Scholes is premised on following log-normal distribution by the underlying price. In the former stochastic theory, it is also a fact that the prediction sometime does not hit in the actual problem because it assumes a known probability distribution. Then, we propose research and development of the new corporate evaluation model and option pricing model based on fuzzy measures, which deal with the ambiguous subjectivity evaluation of man in the real world well. Especially, this system will support venture, small and medium companies.
AB - Most of the models in the field of finance engineering are proposed based on the stochastic theory, e.g., the well-known option pricing model proposed by Black and Scholes is premised on following log-normal distribution by the underlying price. In the former stochastic theory, it is also a fact that the prediction sometime does not hit in the actual problem because it assumes a known probability distribution. Then, we propose research and development of the new corporate evaluation model and option pricing model based on fuzzy measures, which deal with the ambiguous subjectivity evaluation of man in the real world well. Especially, this system will support venture, small and medium companies.
UR - http://www.scopus.com/inward/record.url?scp=34147187309&partnerID=8YFLogxK
U2 - 10.1007/978-3-540-36247-0_12
DO - 10.1007/978-3-540-36247-0_12
M3 - Chapter
AN - SCOPUS:34147187309
SN - 3540362444
SN - 9783540362449
T3 - Studies in Computational Intelligence
SP - 303
EP - 330
BT - Perception-based Data Mining and Decision Making in Economics and Finance
A2 - Batyrshin, Ildar
A2 - Sheremetov, Leonid
A2 - Kacprzyk, Janusz
A2 - Zadeh, Lotfi
A2 - Batyrshin, Ildar
A2 - Sheremetov, Leonid
ER -