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Fuzzy uncertainty in the heston stochastic volatility model

G. Figà-Talamanca. University of Perugia

M.L. Guerra. University of Bologna

L. Stefanini. University of Urbino


Stochastic volatility models for option pricing are suitable to explain many empirical stylized facts in financial markets. Among the other models, Heston provides a good analytical tractability because a quasi closed formula for the price of a European call option can be derived. The estimation of the Heston model parameters is nowadays a subject of on-going research; the aim of this paper is to manage uncertainty about parameters through fuzzy logic preserving the probabilistic structure of the Heston model.


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