Sensitivity analysis explores Greek parameters affecting option prices under uncertainty, indicating their behavior with moving barriers.
Greek parameters are important to analyze how European call and put option prices respond to changes in pricing parameters under uncertainty. Before developing the fuzzy Greeks for call and put options with the moving barrier, as in our paper “ A Coherent Fuzzy Framework for Pricing European Call Down-and-Out and European Put Up-and-Out Options under Moving Curve Barriers”, we describe the sensitivity analysis of these parameters in fuzzy approach so we can compare their behavior to the ones with moving barrier.
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Agustina et al. (2026) studied this question.
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