{"id":"https://openalex.org/W4410100655","doi":"https://doi.org/10.1177/10641246251324575","title":"Assessing the Convergence of Three Up-and-Down Moves in Binomial Option Pricing Modelling to Black-Scholes-Merton in a Fuzzy Setting","display_name":"Assessing the Convergence of Three Up-and-Down Moves in Binomial Option Pricing Modelling to Black-Scholes-Merton in a Fuzzy Setting","publication_year":2025,"publication_date":"2025-05-04","ids":{"openalex":"https://openalex.org/W4410100655","doi":"https://doi.org/10.1177/10641246251324575"},"language":"en","primary_location":{"id":"doi:10.1177/10641246251324575","is_oa":false,"landing_page_url":"https://doi.org/10.1177/10641246251324575","pdf_url":null,"source":{"id":"https://openalex.org/S179157397","display_name":"Journal of Intelligent & Fuzzy Systems","issn_l":"1064-1246","issn":["1064-1246","1875-8967"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Intelligent &amp; Fuzzy Systems: Applications in Engineering and Technology","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5025449314","display_name":"Jorge de Andr\u00e9s S\u00e1nchez","orcid":"https://orcid.org/0000-0002-7715-779X"},"institutions":[{"id":"https://openalex.org/I55952717","display_name":"Universitat Rovira i Virgili","ror":"https://ror.org/00g5sqv46","country_code":"ES","type":"education","lineage":["https://openalex.org/I55952717"]}],"countries":["ES"],"is_corresponding":true,"raw_author_name":"Jorge de Andr\u00e9s-S\u00e1nchez","raw_affiliation_strings":["Social and Business Research Lab, Department of Business Administration, Universitat Rovira i Virgili, 43024, Reus, Spain"],"raw_orcid":"https://orcid.org/0000-0002-7715-779X","affiliations":[{"raw_affiliation_string":"Social and Business Research Lab, Department of Business Administration, Universitat Rovira i Virgili, 43024, Reus, Spain","institution_ids":["https://openalex.org/I55952717"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5025449314"],"corresponding_institution_ids":["https://openalex.org/I55952717"],"apc_list":{"value":4150,"currency":"USD","value_usd":4150},"apc_paid":null,"fwci":1.4768,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.839988,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":94,"max":97},"biblio":{"volume":"49","issue":"5","first_page":"1234","last_page":"1250"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9835000038146973,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9835000038146973,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.983299970626831,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9829000234603882,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.7890951633453369},{"id":"https://openalex.org/keywords/fuzzy-logic","display_name":"Fuzzy logic","score":0.5819816589355469},{"id":"https://openalex.org/keywords/binomial","display_name":"Binomial (polynomial)","score":0.5534690022468567},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.5057923793792725},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.4793201684951782},{"id":"https://openalex.org/keywords/binomial-options-pricing-model","display_name":"Binomial options pricing model","score":0.465924471616745},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4407517910003662},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4371532201766968},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.42036953568458557},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.39676231145858765},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.392295241355896},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.360623836517334},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3304363787174225},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3263075053691864},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.15670371055603027},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.09452974796295166}],"concepts":[{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.7890951633453369},{"id":"https://openalex.org/C58166","wikidata":"https://www.wikidata.org/wiki/Q224821","display_name":"Fuzzy logic","level":2,"score":0.5819816589355469},{"id":"https://openalex.org/C2781315470","wikidata":"https://www.wikidata.org/wiki/Q193623","display_name":"Binomial (polynomial)","level":2,"score":0.5534690022468567},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.5057923793792725},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.4793201684951782},{"id":"https://openalex.org/C105235620","wikidata":"https://www.wikidata.org/wiki/Q1138253","display_name":"Binomial options pricing model","level":3,"score":0.465924471616745},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4407517910003662},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4371532201766968},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.42036953568458557},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.39676231145858765},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.392295241355896},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.360623836517334},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3304363787174225},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3263075053691864},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.15670371055603027},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.09452974796295166},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0},{"id":"https://openalex.org/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1177/10641246251324575","is_oa":false,"landing_page_url":"https://doi.org/10.1177/10641246251324575","pdf_url":null,"source":{"id":"https://openalex.org/S179157397","display_name":"Journal of Intelligent & Fuzzy Systems","issn_l":"1064-1246","issn":["1064-1246","1875-8967"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310318577","host_organization_name":"IOS Press","host_organization_lineage":["https://openalex.org/P4310318577"],"host_organization_lineage_names":["IOS Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Intelligent &amp; Fuzzy Systems: Applications in Engineering and Technology","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":45,"referenced_works":["https://openalex.org/W175530658","https://openalex.org/W203580229","https://openalex.org/W1517997226","https://openalex.org/W1543419430","https://openalex.org/W1778428835","https://openalex.org/W1800858943","https://openalex.org/W1976621221","https://openalex.org/W1979366876","https://openalex.org/W2001615985","https://openalex.org/W2009608498","https://openalex.org/W2020513006","https://openalex.org/W2027220547","https://openalex.org/W2033972209","https://openalex.org/W2047628544","https://openalex.org/W2050067494","https://openalex.org/W2050582772","https://openalex.org/W2054545513","https://openalex.org/W2055324899","https://openalex.org/W2062835833","https://openalex.org/W2073927851","https://openalex.org/W2077791698","https://openalex.org/W2085540196","https://openalex.org/W2088313916","https://openalex.org/W2091178702","https://openalex.org/W2146612430","https://openalex.org/W2150295554","https://openalex.org/W2154092206","https://openalex.org/W2418281354","https://openalex.org/W2606055523","https://openalex.org/W2754156951","https://openalex.org/W2756837887","https://openalex.org/W2761749426","https://openalex.org/W2787677685","https://openalex.org/W2809776761","https://openalex.org/W2945483087","https://openalex.org/W3013196584","https://openalex.org/W3037701758","https://openalex.org/W3114697130","https://openalex.org/W3206324480","https://openalex.org/W3208691413","https://openalex.org/W4200274960","https://openalex.org/W4231057775","https://openalex.org/W4251875670","https://openalex.org/W4401016225","https://openalex.org/W4402734100"],"related_works":["https://openalex.org/W2373748092","https://openalex.org/W2902898608","https://openalex.org/W4311889558","https://openalex.org/W2968586561","https://openalex.org/W4407942606","https://openalex.org/W2196480514","https://openalex.org/W3183442954","https://openalex.org/W2808554052","https://openalex.org/W2076585441","https://openalex.org/W1569181796"],"abstract_inverted_index":{"The":[0,132],"fuzzy":[1,21,82],"binomial":[2,59],"option":[3],"pricing":[4],"(FBOP)":[5],"method":[6],"parameterizes":[7],"the":[8,25,41,47,51,76,84,110,115,175],"up":[9,42],"and":[10,23,28,43,53,56,94,121,145,162,177],"down":[11,44],"multipliers":[12],"via":[13],"volatility,":[14],"which":[15],"is":[16,98,126,136,168],"assumed":[17],"to":[18,73,170,185],"be":[19],"a":[20,81,152],"number,":[22],"employs":[24],"Cox,":[26],"Ross,":[27],"Rubinstein":[29],"(CRR)":[30],"structure":[31],"for":[32,40,101,105,118,159,174],"these":[33],"multipliers.":[34],"This":[35,96],"paper":[36],"examines":[37],"alternative":[38,172],"parameterizations":[39,173],"factors":[45],"within":[46],"FBOP":[48,181],"framework,":[49],"specifically":[50],"Rendleman":[52],"Bartter":[54],"(RB)":[55],"Trigeorgis":[57],"(TRIG)":[58],"approximations.":[60],"We":[61],"have":[62],"observed":[63,138],"that":[64,71],"although":[65],"all":[66,140],"three":[67],"methodologies":[68],"produce":[69],"prices":[70],"converge":[72],"those":[74],"of":[75,134],"Black-Scholes-Merton":[77],"(BSM)":[78],"model":[79,112],"in":[80,89,129,179],"setting,":[83],"RB":[85,111,135],"approach":[86],"typically":[87],"results":[88],"smaller":[90],"errors":[91],"than":[92,104,155],"TRIG":[93],"CRR.":[95,186],"superiority":[97,133],"more":[99],"pronounced":[100],"at-the-money":[102],"options":[103,161],"other":[106],"money":[107],"degrees.":[108],"While":[109],"consistently":[113],"shows":[114],"greatest":[116],"convergence":[117],"both":[119],"call":[120,130],"put":[122],"options,":[123],"its":[124],"advantage":[125],"particularly":[127],"evident":[128],"options.":[131],"also":[137],"across":[139],"volatility":[141],"scenarios":[142],"(low,":[143],"medium,":[144],"high).":[146],"Additionally,":[147],"Trigeorgis\u2019":[148],"parameterization":[149],"often":[150],"provides":[151],"better":[153],"approximation":[154],"CRR":[156],"does,":[157],"especially":[158],"out-of-the-money":[160],"puts.":[163],"Therefore,":[164],"we":[165],"believe":[166],"it":[167],"worthwhile":[169],"explore":[171],"up-":[176],"downfactors":[178],"future":[180],"studies":[182],"as":[183],"alternatives":[184]},"counts_by_year":[{"year":2026,"cited_by_count":1}],"updated_date":"2026-08-21T09:56:20.448147","created_date":"2025-10-10T00:00:00"}
