The Case of Imprecisely Stated Volatility: A Fuzzy-Random Approach to Option Pricing

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86083106" target="_blank" >RIV/61989100:27510/12:86083106 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/61988987:17610/12:A13017KE

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

The Case of Imprecisely Stated Volatility: A Fuzzy-Random Approach to Option Pricing

Popis výsledku v původním jazyce

The option pricing model performance crucially depends on the ability to estimate all necessary input parameters successfully. Within the standard models of Black-Scholes type, the most important parameter is volatility. Since it is often very difficultto obtain a single number, an alternative can be to apply interval approach or more generalized fuzzy-random approach. In this paper recent knowledge of fuzzy numbers and their approximations is utilized in order to suggest fuzzy-random simulation approach to option price modeling, ie. we use fuzzy-random variables. In particular, we suggest to replace a crisp volatility parameter in the standard market model (ie. Black-Scholes type) by a fuzzy random variable, which can be easily evaluated by Monte Carlo simulation. Application possibilities are shown on illustrative examples. In particular, we evaluate the model for various input data and option types. The results are compared to the Black-Scholes option price and market option prices

Název v anglickém jazyce

The Case of Imprecisely Stated Volatility: A Fuzzy-Random Approach to Option Pricing

Popis výsledku anglicky

The option pricing model performance crucially depends on the ability to estimate all necessary input parameters successfully. Within the standard models of Black-Scholes type, the most important parameter is volatility. Since it is often very difficultto obtain a single number, an alternative can be to apply interval approach or more generalized fuzzy-random approach. In this paper recent knowledge of fuzzy numbers and their approximations is utilized in order to suggest fuzzy-random simulation approach to option price modeling, ie. we use fuzzy-random variables. In particular, we suggest to replace a crisp volatility parameter in the standard market model (ie. Black-Scholes type) by a fuzzy random variable, which can be easily evaluated by Monte Carlo simulation. Application possibilities are shown on illustrative examples. In particular, we evaluate the model for various input data and option types. The results are compared to the Black-Scholes option price and market option prices

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/ED1.1.00%2F02.0070" target="_blank" >ED1.1.00/02.0070: Centrum excelence IT4Innovations</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2012

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 13th International Conference on Finance and Banking : 12-13 October 2011, Ostrava, Czech Republic

ISBN

978-80-7248-753-0

ISSN

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e-ISSN

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Počet stran výsledku

9

Strana od-do

121-129

Název nakladatele

Silesian University, School of Business Administration

Místo vydání

Karviná

Místo konání akce

Ostrava

Datum konání akce

12. 10. 2011

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000309369700013