A MULTIPERIOD BINOMIAL MODEL FOR PRICING OPTIONS IN AN UNCERTAIN WORLD

摘要: The aim of this paper is to price an option in a multiperiod binomial model, when there uncertainty on the states world at each node tree . As consequence, also stock state takes imprecise values. Possibility distributions are used handle type problems. pricing methodology still based risk neutral valuation approach, but, as consequence two jumps stock, we obtain weighted intervals for -neutral probabilities. distinctive feature our model that it tracks back arising these probability imprecision value i n up and down states. This provides generalization standard model. We expected interval within which possible find crisp representative index present