American option pricing with imprecise risk neutral probabilities: from plain intervals to fuzzy sets

The aim f this paper is to price an American style option when there is uncertainty on the underlying asset volatility

Option pricing in the presence of uncertainty

In this chapter we investigate the derivation of the European option price in the Cox-Ross-Rubinstein binomial model in the presence of uncertainty on the volatility of the underlying asset. We propose two different approaches to the issue that concentrate on the fuzzification of one or both the two jump factors