Option pricing with simulation of fuzzy stochastic variables

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086865" target="_blank" >RIV/61989100:27510/13:86086865 - 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
Option pricing with simulation of fuzzy stochastic variables
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 as 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. Many financial problems, such as pricing and hedging of specific financial derivatives, 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 a recent knowledgeof 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 t
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
Liberec Economic Forum 2013 : proceedings of the 11th international conference : 16th-17th September, Sychrov, Czech Republic, EU
ISBN
978-80-7372-953-0
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
204-211
Publisher name
Technical University of Liberec
Place of publication
Liberec
Event location
Sychrov
Event date
Sep 16, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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