Imprecise input data and option valuation problem

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086859" target="_blank" >RIV/61989100:27510/13:86086859 - 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
Imprecise input data and option valuation problem
Original language description
During last decades the stochastic simulation approach, both via MC and QMC has been vastly applied and subsequently analyzed in almost all branches of science. Very nice applications can be found in areas that rely on modeling via stochastic processes,such as finance. However, since financial quantities ? opposed to natural processes ? depend on human activity, their modeling is often very challenging. Many scholars therefor suggest to specify some parts of financial models by means of fuzzy set theory. Since many financial problems are too complex to be solved analytically even in a crisp case, it can be efficient to apply (Quasi) Monte Carlo simulation. In this contribution the recent knowledge of fuzzy numbers and their approximation is utilized in order to suggest fuzzy-MC simulation to option price modeling in terms of fuzzy-random variables. In particular, we suggest three distinct fuzzy-random processes as an alternative to a standard crisp model. Application possibilities are
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematical Methods in Economics 2013 : 31st international conference : 11-13 September 2013, Jihlava, Czech Republic
ISBN
978-80-87035-76-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
273-278
Publisher name
College of Polytechnics Jihlava
Place of publication
Jihlava
Event location
Jihlava
Event date
Sep 11, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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