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
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
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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