Option valuation model with adaptive fuzzy numbers
Option valuation model with adaptive fuzzy numbers
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DOI：
10.1016/j.camwa.2007.01.011
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发表时间：
2007-03
期刊：
影响因子：
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通讯作者：
K. Thiagarajah;S. S. Appadoo-S.;A. Thavaneswaran
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文献类型：
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作者：
K. Thiagarajah;S. S. Appadoo-S.;A. Thavaneswaran
本文考虑Dubois和Prade[D.Dubois，H.Prade，FuzzySets and Systems：Theology and Applications，New York，1980]中定义的一类二次自适应模糊数的矩性质。梯形模糊数(Tr.F.N‘s)和三角模糊数(T.F.N’s)的相应矩是自适应模糊数的特例[S.Bodjanova，模糊数的中值和中值区间，信息科学172(2005)73-89]。给出了基于二次自适应模糊数的Black-Scholes期权定价公式对波动率参数、利率和股价等特征的数值算例。我们的方法依赖于模糊集理论对不精确度的刻画。
In this paper, we consider moment properties for a class of quadratic adaptive fuzzy numbers defined in Dubois and Prade [D. Dubois, H. Prade, Fuzzy Sets and Systems: Theory and Applications, Academic Press, New York, 1980]. The corresponding moments of Trapezoidal Fuzzy Numbers (Tr.F.N’s) and Triangular Fuzzy Numbers (T.F.N’s) turn out to be special cases of the adaptive fuzzy number [S. Bodjanova, Median value and median interval of a fuzzy number, Information Sciences 172 (2005) 73–89]. A numerical example is presented based on the Black–Scholes option pricing formula with quadratic adaptive fuzzy numbers for the characteristics such as volatility parameter, interest rate and stock price. Our approach hinges on a characterization of imprecision by means of fuzzy set theory.