EXPECTED PAYOFF OF TRADING STRATEGIES INVOLVING EUROPEAN OPTIONS FOR FUZZY FINANCIAL MARKET

Uncertainty inherent in the nancial market was usually consid- ered to be random. However, randomness is only one special type of uncer- tainty and appropriate when describing objective information. For describing subjective information it is preferred to assume that uncertainty is fuzzy. This paper de nes the expected payo of trading strategies in a fuzzy nancial market within the framework of credibility theory. In addition, a computable integral form is obtained for expected payo of each strategy.