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Soft Bond Game Options Valuation in Discrete Time Using a Fuzzy-Stochastic Approach

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F22%3A10250044" target="_blank" >RIV/61989100:27510/22:10250044 - isvavai.cz</a>

  • Result on the web

    <a href="https://link.springer.com/article/10.1007/s40815-022-01258-3#Abs1" target="_blank" >https://link.springer.com/article/10.1007/s40815-022-01258-3#Abs1</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1007/s40815-022-01258-3" target="_blank" >10.1007/s40815-022-01258-3</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Soft Bond Game Options Valuation in Discrete Time Using a Fuzzy-Stochastic Approach

  • Original language description

    Bond game options are complex financial instruments that include the aspects of the risk (stochastic uncertainty) of a term structure of interest rates, option (flexibility) and interactivity (game). Forecasting uncertainty also comprises the vagueness (fuzzy uncertainty), often neglected. The fuzzy-stochastic models encompass both features. The paper objective is to develop and apply the fuzzy-stochastic soft bond game option model in discrete time. This model is based on normal fuzzy sets of the T-number type, the decomposition principle and epsilon-cuts. The forward induction arbitrage-free method for the Ho- Lee calibration of interest rates, the binomial model and the two-person zero-sum games are used. An application example of the fuzzy-stochastic soft bond game option model from the buyer perspective based on the power triangle numbers for three variants of fuzziness is developed and computed. Inclusion of vagueness allows reflecting better valuation conditions and getting a more complex valuation picture. The developed model can adequately reflect valuation conditions and considers all aspects of the complex valuation problem of the bond game options, besides risk, flexibility, interactivity and vagueness. [GRAPHICS] .

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • OECD FORD branch

    50206 - Finance

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2022

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    International Journal of Fuzzy Systems

  • ISSN

    1562-2479

  • e-ISSN

    2199-3211

  • Volume of the periodical

    24

  • Issue of the periodical within the volume

    5

  • Country of publishing house

    DE - GERMANY

  • Number of pages

    14

  • Pages from-to

    "2215–2228"

  • UT code for WoS article

    000784405700003

  • EID of the result in the Scopus database

    2-s2.0-85128335117