Option pricing with fuzzy parameters via Monte Carlo simulation

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86079315" target="_blank" >RIV/61989100:27510/11:86079315 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1007/978-3-642-23062-2_4" target="_blank" >http://dx.doi.org/10.1007/978-3-642-23062-2_4</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/978-3-642-23062-2_4" target="_blank" >10.1007/978-3-642-23062-2_4</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Option pricing with fuzzy parameters via Monte Carlo simulation

Popis výsledku v původním jazyce

Very nice applications of the stochastic simulation approach, both via MC and QMC, can be found in all areas that rely on modeling via stochastic processes, such as finance. However, since estimation of financial quantities is often very challenging, many scholars suggest to specify some parts of financial models by means of fuzzy sets theory. In this contribution the recent knowledge of fuzzy numbers and their approximation is utilized in order to suggest fuzzy-MC simulation approach to option price modeling in terms of fuzzy-random variables. In particular, we suggest to replace a crisp volatility parameter in the standard market model by a fuzzy random variable, which can be easily evaluated by Monte Carlo simulation. Application possibilities are shown on illustrative examples.

Název v anglickém jazyce

Option pricing with fuzzy parameters via Monte Carlo simulation

Popis výsledku anglicky

Very nice applications of the stochastic simulation approach, both via MC and QMC, can be found in all areas that rely on modeling via stochastic processes, such as finance. However, since estimation of financial quantities is often very challenging, many scholars suggest to specify some parts of financial models by means of fuzzy sets theory. In this contribution the recent knowledge of fuzzy numbers and their approximation is utilized in order to suggest fuzzy-MC simulation approach to option price modeling in terms of fuzzy-random variables. In particular, we suggest to replace a crisp volatility parameter in the standard market model by a fuzzy random variable, which can be easily evaluated by Monte Carlo simulation. Application possibilities are shown on illustrative examples.

Druh

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

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2011

Kód důvěrnosti údajů

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

Název periodika

Communications in Computer and Information Science

ISSN

1865-0929

e-ISSN

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Svazek periodika

211

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

DE - Spolková republika Německo

Počet stran výsledku

9

Strana od-do

25-33

Kód UT WoS článku

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EID výsledku v databázi Scopus

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