Fuzzy options with application to default risk analysis for municipal bonds in China

Liyan Han; Chengli Zheng

doi:10.1016/j.na.2005.02.019

Fuzzy options with application to default risk analysis for municipal bonds in China

Liyan Han^*
, Chengli Zheng

^*Corresponding author for this work

School of Economics and Management

Peking University

Research output: Contribution to journal › Article › peer-review

16 Scopus citations

Abstract

In contrast to identical rationality, non-identical rationality is laid as the basis for option pricing, realized by a family of non-additive fuzzy measures mathematically, which naturally induces the new concept and analyzing methods, fuzzy options. Then as demonstration, the paper applies the fuzzy options to default risk analysis for municipal bonds in China.

Original language	English
Pages (from-to)	e2353-e2365
Journal	Nonlinear Analysis, Theory, Methods and Applications
Volume	63
Issue number	5-7
DOIs	https://doi.org/10.1016/j.na.2005.02.019
State	Published - 30 Nov 2005

Keywords

Default risk
Fuzzy options
Municipal bonds
Non-identical rationalities

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10.1016/j.na.2005.02.019

Cite this

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title = "Fuzzy options with application to default risk analysis for municipal bonds in China",

abstract = "In contrast to identical rationality, non-identical rationality is laid as the basis for option pricing, realized by a family of non-additive fuzzy measures mathematically, which naturally induces the new concept and analyzing methods, fuzzy options. Then as demonstration, the paper applies the fuzzy options to default risk analysis for municipal bonds in China.",

keywords = "Default risk, Fuzzy options, Municipal bonds, Non-identical rationalities",

author = "Liyan Han and Chengli Zheng",

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T1 - Fuzzy options with application to default risk analysis for municipal bonds in China

AU - Han, Liyan

AU - Zheng, Chengli

PY - 2005/11/30

Y1 - 2005/11/30

N2 - In contrast to identical rationality, non-identical rationality is laid as the basis for option pricing, realized by a family of non-additive fuzzy measures mathematically, which naturally induces the new concept and analyzing methods, fuzzy options. Then as demonstration, the paper applies the fuzzy options to default risk analysis for municipal bonds in China.

AB - In contrast to identical rationality, non-identical rationality is laid as the basis for option pricing, realized by a family of non-additive fuzzy measures mathematically, which naturally induces the new concept and analyzing methods, fuzzy options. Then as demonstration, the paper applies the fuzzy options to default risk analysis for municipal bonds in China.

KW - Default risk

KW - Fuzzy options

KW - Municipal bonds

KW - Non-identical rationalities

UR - https://www.scopus.com/pages/publications/28044451528

U2 - 10.1016/j.na.2005.02.019

DO - 10.1016/j.na.2005.02.019

M3 - 文章

AN - SCOPUS:28044451528

SN - 0362-546X

VL - 63

SP - e2353-e2365

JO - Nonlinear Analysis, Theory, Methods and Applications

JF - Nonlinear Analysis, Theory, Methods and Applications

IS - 5-7

ER -

Fuzzy options with application to default risk analysis for municipal bonds in China

Abstract

Keywords

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