Option pricing with simulation of fuzzy stochastic variables

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086865" target="_blank" >RIV/61989100:27510/13:86086865 - 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

Option pricing with simulation of fuzzy stochastic variables

Popis výsledku v původním jazyce

During last decades the stochastic simulation approach, both via MC and QMC has been vastly applied and subsequently analyzed in almost all branches of science. Very nice applications can be found in areas that rely on modeling via stochastic processes,such as finance. However, since financial quantities as opposed to natural processes depend on human activity, their modeling is often very challenging. Many scholars therefor suggest to specify some parts of financial models by means of fuzzy set theory. Many financial problems, such as pricing and hedging of specific financial derivatives, are too complex to be solved analytically even in a crisp case, it can be efficient to apply (Quasi) Monte Carlo simulation. In this contribution a recent knowledgeof fuzzy numbers and their approximation is utilized in order to suggest fuzzy-MC simulation to option price modeling in terms of fuzzy-random variables. In particular, we suggest three distinct fuzzy-random processes as an alternative t

Název v anglickém jazyce

Option pricing with simulation of fuzzy stochastic variables

Popis výsledku anglicky

During last decades the stochastic simulation approach, both via MC and QMC has been vastly applied and subsequently analyzed in almost all branches of science. Very nice applications can be found in areas that rely on modeling via stochastic processes,such as finance. However, since financial quantities as opposed to natural processes depend on human activity, their modeling is often very challenging. Many scholars therefor suggest to specify some parts of financial models by means of fuzzy set theory. Many financial problems, such as pricing and hedging of specific financial derivatives, are too complex to be solved analytically even in a crisp case, it can be efficient to apply (Quasi) Monte Carlo simulation. In this contribution a recent knowledgeof fuzzy numbers and their approximation is utilized in order to suggest fuzzy-MC simulation to option price modeling in terms of fuzzy-random variables. In particular, we suggest three distinct fuzzy-random processes as an alternative t

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

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

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název statě ve sborníku

Liberec Economic Forum 2013 : proceedings of the 11th international conference : 16th-17th September, Sychrov, Czech Republic, EU

ISBN

978-80-7372-953-0

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

204-211

Název nakladatele

Technical University of Liberec

Místo vydání

Liberec

Místo konání akce

Sychrov

Datum konání akce

16. 9. 2013

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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