Abstract
The path-dependent property of American options leads to the complexity of its pricing. Based on the analysis of American options' characteristics and the influence of the stock dividend, the American call option fuzzy pricing method is discussed in this paper. Under the assumption that the price of stock, discount rate, the volatility, and interest rate are all fuzzy numbers, the fuzzy pricing formula of American option is proposed by using the Black–Scholes pricing model. Then the interpolation search algorithm is designed to solve the proposed pricing model. Finally, the validity and accuracy of this model and its algorithm have to be tested with some numerical examples. © 2010 Wiley Periodicals, Inc. © 2011 Wiley Periodicals, Inc.
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