A Pricing Model of Fuzzy Rainbow Options

The studies of financial derivatives such as options are emerging prosperously. The rainbow options which link to two or more underlying assets get more concerns increasingly because of more flexibility to support diversification and more available investment strategies than one-asset options. Nevertheless, imprecise evaluation of input parameters usually results in misestimation of option value. In order to handle vague and imprecise problems, This paper extend Lee et al.'s (2005) fuzzy Black-Scholes option pricing model in place of one-asset with multi-asset to develop a fuzzy multi-asset rainbow option pricing model with analytical approach which integrates fuzzy set theory and Bayesian theorem.