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The generalization of λ-fuzzy measures with application to the fuzzy option

  • Liyan Han*
  • , Wenli Chen
  • *Corresponding author for this work
  • Beihang University

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

In this paper, we present the definition of λ-fuzzy signed measure, its generalized transform function, and the distribution properties of λ-fuzzy measures. Then investors' heterogeneity is revealed with a family of λ-fuzzy measures. The approach to asset pricing based on λ-fuzzy measures breaks through the traditional "identical rationality" assumption, and provides an useful analytical tool for recent researches of behavioral economics and finance.

Original languageEnglish
Title of host publicationFuzzy Systems and Knowledge Discovery - Third International Conference, FSKD 2006, Proceedings
PublisherSpringer Verlag
Pages762-765
Number of pages4
ISBN (Print)3540459162, 9783540459163
DOIs
StatePublished - 2006
Event3rd International Conference on Fuzzy Systems and Knowledge Discovery, FSKD 2006 - Xi'an, China
Duration: 24 Sep 200628 Sep 2006

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume4223 LNAI
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Conference

Conference3rd International Conference on Fuzzy Systems and Knowledge Discovery, FSKD 2006
Country/TerritoryChina
CityXi'an
Period24/09/0628/09/06

Keywords

  • Asset pricing
  • Fuzzy
  • Fuzzy measures
  • Fuzzy options
  • Heterogeneity

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