Compound Option Pricing under Fuzzy Environment Revisit

Chih Ping Yen

Abstract: Wang, He and Li published a paper in Journal of Applied Mathematics (Volume 2014, Article ID 875319, 9 pages) to develop a compound option pricing under fuzzy environment. However, we find that they implicitly assumed the crisp possibilistic mean value being commuting with fuzzy multiplication and fuzzy division. In this paper, we show that their assumptions are not valid to reveal that their theoretical derivations needed further improvement.

Keywords: Compound Option Pricing, Fuzzy