Compound Option Pricing under Fuzzy Environment

Table 2

The numerical result of 𝑆^∗ and 𝑀(𝐶) under the fuzzy environment.

𝑆	𝐾1	𝐾2	𝑇1	𝑇2	𝑟𝑐	𝜎𝑐	𝑆^∗	𝑀(𝐶)
90	5	90	0.5	1	0.05	0.3	82.7509	8.9357
95	5	90	0.5	1	0.05	0.3	82.7509	11.9369
105	5	90	0.5	1	0.05	0.3	82.7509	19.0290
100	4	90	0.5	1	0.05	0.3	80.2813	16.1338
100	4.5	90	0.5	1	0.05	0.3	81.5571	15.7219
100	6	90	0.5	1	0.05	0.3	84.9404	14.5412
100	5	80	0.5	1	0.05	0.3	74.7967	21.7981
100	5	85	0.5	1	0.05	0.3	78.7852	18.3814
100	5	95	0.5	1	0.05	0.3	86.6946	12.6250
100	5	90	0.25	1	0.05	0.3	78.2638	14.8803
100	5	90	0.55	1	0.05	0.3	83.7505	15.4312
100	5	90	0.75	1	0.05	0.3	88.2253	15.9460
100	5	90	0.5	0.75	0.05	0.3	88.2253	13.7005
100	5	90	0.5	1	0.05	0.3	82.7509	15.3199
100	5	90	0.5	1.25	0.05	0.3	78.2638	16.9375
100	5	90	0.5	1	0.04	0.3	83.1077	14.7869
100	5	90	0.5	1	0.055	0.3	82.5732	15.5898
100	5	90	0.5	1	0.06	0.3	82.3959	15.8616
100	5	90	0.5	1	0.05	0.25	85.3576	13.7159
100	5	90	0.5	1	0.05	0.32	81.6798	15.9782
100	5	90	0.5	1	0.05	0.35	80.0567	16.9781