Application of the fuzzy-stochastic methodology to apprising financial derivatives - generalised sensitivity analysis

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F00%3A10001820" target="_blank" >RIV/61989100:27510/00:10001820 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Application of the fuzzy-stochastic methodology to apprising financial derivatives - generalised sensitivity analysis

Popis výsledku v původním jazyce

The valuing of the financial derivatives as call and put options for underlying assets(shares, bonds, indices etc.) is now a crucial and very tractable problem ov financial decision-making. There are two basic aspects which are traditionally studied, contingent claim feature (payoff function) and risk (stochastic process type). But vagueness is mostly rehter neglected. But a combination of risk (stochastic) and vagueness (fuzzy) methodology could be useful because of decision-making and forecasting conditions. Applicable fuzzy-stochastic methodology under fuzzy numbers (linear T-numbers) is descriebed and proposed. Methodologies of valuing and computing option prices are explained, the Black-Scholes model is mainly described. Input data are in a form of fuzzy numbers, the model is of fuzzy-stochastic type and results are described as possilility-expected value and fuzzy-stochastic distribution. Illustrative example is introduced.

Název v anglickém jazyce

Application of the fuzzy-stochastic methodology to apprising financial derivatives - generalised sensitivity analysis

Popis výsledku anglicky

The valuing of the financial derivatives as call and put options for underlying assets(shares, bonds, indices etc.) is now a crucial and very tractable problem ov financial decision-making. There are two basic aspects which are traditionally studied, contingent claim feature (payoff function) and risk (stochastic process type). But vagueness is mostly rehter neglected. But a combination of risk (stochastic) and vagueness (fuzzy) methodology could be useful because of decision-making and forecasting conditions. Applicable fuzzy-stochastic methodology under fuzzy numbers (linear T-numbers) is descriebed and proposed. Methodologies of valuing and computing option prices are explained, the Black-Scholes model is mainly described. Input data are in a form of fuzzy numbers, the model is of fuzzy-stochastic type and results are described as possilility-expected value and fuzzy-stochastic distribution. Illustrative example is introduced.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2000

Kód důvěrnosti údajů

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

Název periodika

BUSEFAL

ISSN

0296-3698

e-ISSN

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Svazek periodika

2000

Číslo periodika v rámci svazku

83

Stát vydavatele periodika

FR - Francouzská republika

Počet stran výsledku

8

Strana od-do

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Kód UT WoS článku

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EID výsledku v databázi Scopus

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