摘要：We propose a valuation of European call option with fuzzy volatilitydepending on time. The principle in this valuation where other parameters ofoption pricing model are supposed to be non fuzzy, consists in replacingvolatility by its central value as defined by Bodjanova (see Bojanova 2005[13]). After having given a sufficientcondition guaranteeing the equality of the exact price of European call optionwith its price when fuzzy volatility is replaced by its central value, a casestudy is carried out to show the application of the approach suggested.
关键词：Option pricing model;fuzzy number;volatility;fuzzy number central value
