Black-Scholes PDE and Ornstein-Uhlenbeck SDE Process to Analyse Stock Option- A Study in Fuzzy Context

Option valuation plays an important role in financial derivative. Prices of underlying assets are derived from other assets. In this paper, Fuzzy approximation to Black-Scholes PDE is considered to analyze options. Ornstein-Uhlenbeck SDE process is solved numerically to visualize the future price trajectory of stock. Drift and diffusion coefficients of SDE process are considered as triangular fuzzy numbers. The study found to be a qualitative and satisfactory agreement while comparing the real data.