Application of the fuzzy-stochastic methodology to apprising financial derivatives - generalised sensitivity analysis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F00%3A10001820" target="_blank" >RIV/61989100:27510/00:10001820 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Application of the fuzzy-stochastic methodology to apprising financial derivatives - generalised sensitivity analysis
Original language description
The valuing of the financial derivatives as call and put options for underlying assets(shares, bonds, indices etc.) is now a crucial and very tractable problem ov financial decision-making. There are two basic aspects which are traditionally studied, contingent claim feature (payoff function) and risk (stochastic process type). But vagueness is mostly rehter neglected. But a combination of risk (stochastic) and vagueness (fuzzy) methodology could be useful because of decision-making and forecasting conditions. Applicable fuzzy-stochastic methodology under fuzzy numbers (linear T-numbers) is descriebed and proposed. Methodologies of valuing and computing option prices are explained, the Black-Scholes model is mainly described. Input data are in a form of fuzzy numbers, the model is of fuzzy-stochastic type and results are described as possilility-expected value and fuzzy-stochastic distribution. Illustrative example is introduced.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Publication year
2000
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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