CAJ | 학술논문

为了刻画欧式期权价格估计值的不确定性和投资者的犹豫程度，用三角直觉模糊数表示期权标的资产价格的变化因子，构建了三角直觉模糊数二又树定价模型，并用风险中性定价方法研究单期欧式看涨期权的定价问题．研究发现：欧式看涨期权价格表示为一个三角直觉模糊数，其值体现了投资者对期权价格估计值的肯定程度、否定程度和犹豫程度；利用三角直觉模糊数的截集运算法则得到了欧式看涨期权价格的区间值．数值算例表明，用三角直觉模糊数得到的欧式看涨期权的价格比用三角模糊数得到的价格更能体现投资者的犹豫性．
위료각화구식기권개격고계치적불학정성화투자자적유예정도，용삼각직각모호수표시기권표적자산개격적변화인자，구건료삼각직각모호수이우수정개모형，병용풍험중성정개방법연구단기구식간창기권적정개문제．연구발현：구식간창기권개격표시위일개삼각직각모호수，기치체현료투자자대기권개격고계치적긍정정도、부정정도화유예정도；이용삼각직각모호수적절집운산법칙득도료구식간창기권개격적구간치．수치산례표명，용삼각직각모호수득도적구식간창기권적개격비용삼각모호수득도적개격경능체현투자자적유예성．
In this paper the triangular intuitionistic fuzzy numbers are used to express the change factors of the underlying assets of the option in order to describe the uncertainty of the estimated value of the European option price and the hesitation degree of the investors, the intuitionistic fuzzy binomial tree pricing model is made, and the risk neutral pricing method is used to research the single period European call option pricing problem. The findings of the study are that the European option price expressed by a triangular intuitionistic fuzzy number, which can reflect the certainty degree, negation degree and hesitation degree of the investor on the estimated value of the option price, and then the interval value of European option price is obtained by using the cuts sets operation of the triangular intuitionistic fuzzy numbers. Some numerical examples show that European call option price obtained by the triangular intuitionistic fuzzy number can express more the hesitation degree of the investors than the one obtained by the fuzzy number.