Soft Bond Game Options Valuation in Discrete Time Using a Fuzzy-Stochastic Approach
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
<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>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Soft Bond Game Options Valuation in Discrete Time Using a Fuzzy-Stochastic Approach
Popis výsledku v původním jazyce
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] .
Název v anglickém jazyce
Soft Bond Game Options Valuation in Discrete Time Using a Fuzzy-Stochastic Approach
Popis výsledku anglicky
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] .
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
50206 - Finance
Návaznosti výsledku
Projekt
—
Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2022
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
International Journal of Fuzzy Systems
ISSN
1562-2479
e-ISSN
2199-3211
Svazek periodika
24
Číslo periodika v rámci svazku
5
Stát vydavatele periodika
DE - Spolková republika Německo
Počet stran výsledku
14
Strana od-do
"2215–2228"
Kód UT WoS článku
000784405700003
EID výsledku v databázi Scopus
2-s2.0-85128335117