Law of Large Numbers for Random LU-Fuzzy Numbers: Some Results in the Context of Simulation of Financial Quantities

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090770" target="_blank" >RIV/61989100:27510/14:86090770 - 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
Law of Large Numbers for Random LU-Fuzzy Numbers: Some Results in the Context of Simulation of Financial Quantities
Original language description
Financial problems can be analyzed by several ways. In the standard case, we assume that a given financial quantity in question is a stochastic (or random) variable, ie. it follows some probability distribution and its possible states can get prescribedparticular probabilities. However, in financial modeling it can appear that the estimation of parameters of such models (e.g. volatility) does not lead to reliable results, so that it can be fruitful to incorporate some kind of impreciseness. One can recognize an unnatural simplification of parameters that can lead to a loss of important information hidden in data. If one wants to apply Monte Carlo simulation to analyze a financial problem with values expressed by imprecisely defined numbers, it is important to show that random variables with imprecisely defined numbers satisfy the (strong) law of large numbers, as well. Otherwise such approach would have no sense. The aim of the paper is to provide a justification to this novel approac
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
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 14th International Conference on Finance and Banking : 16-17 October 2013, Ostrava, Czech Republic
ISBN
978-80-7248-939-8
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
124-130
Publisher name
Silesian University, School of Business Administration
Place of publication
Karviná
Event location
Ostrava
Event date
Oct 16, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000345575000015

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