{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,11]],"date-time":"2026-04-11T14:25:48Z","timestamp":1775917548767,"version":"3.50.1"},"reference-count":32,"publisher":"MDPI AG","issue":"7","license":[{"start":{"date-parts":[[2024,7,1]],"date-time":"2024-07-01T00:00:00Z","timestamp":1719792000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Algorithms"],"abstract":"<jats:p>In traditional finance, option prices are typically calculated using crisp sets of variables. However, as reported in the literature novel, these parameters possess a degree of fuzziness or uncertainty. This allows participants to estimate option prices based on their risk preferences and beliefs, considering a range of possible values for the parameters. This paper presents a comprehensive review of existing work on fuzzy fractional Brownian motion and proposes an extension in the context of financial option pricing. In this paper, we define a unified framework combining fractional Brownian motion with fuzzy processes, creating a joint product measure space that captures both randomness and fuzziness. The approach allows for the consideration of individual risk preferences and beliefs about parameter uncertainties. By extending Merton\u2019s jump-diffusion model to include fuzzy fractional Brownian motion, this paper addresses the modelling needs of hybrid systems with uncertain variables. The proposed model, which includes fuzzy Poisson processes and fuzzy volatility, demonstrates advantageous properties such as long-range dependence and self-similarity, providing a robust tool for modelling financial markets. By incorporating fuzzy numbers and the belief degree, this approach provides a more flexible framework for practitioners to make their investment decisions.<\/jats:p>","DOI":"10.3390\/a17070289","type":"journal-article","created":{"date-parts":[[2024,7,1]],"date-time":"2024-07-01T10:14:46Z","timestamp":1719828886000},"page":"289","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Fuzzy Fractional Brownian Motion: Review and Extension"],"prefix":"10.3390","volume":"17","author":[{"ORCID":"https:\/\/orcid.org\/0009-0002-0516-615X","authenticated-orcid":false,"given":"Georgy","family":"Urumov","sequence":"first","affiliation":[{"name":"School of Computer Science and Engineering, University of Westminster, 115 New Cavendish Street, London W1W 6UW, UK"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3157-8887","authenticated-orcid":false,"given":"Panagiotis","family":"Chountas","sequence":"additional","affiliation":[{"name":"School of Computer Science and Engineering, University of Westminster, 115 New Cavendish Street, London W1W 6UW, UK"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-5507-6158","authenticated-orcid":false,"given":"Thierry","family":"Chaussalet","sequence":"additional","affiliation":[{"name":"School of Computer Science and Engineering, University of Westminster, 115 New Cavendish Street, London W1W 6UW, UK"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"1968","published-online":{"date-parts":[[2024,7,1]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"483","DOI":"10.1007\/s10614-020-10043-z","article-title":"Pricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps","volume":"58","author":"Zhang","year":"2021","journal-title":"Comput. 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