A Study of Discrete Time Pricing American Fuzzy Put Option Model on Fuzzy Future Contract in Seller's Perspective using a Special Class of Fuzzy Numbers

Meenakshi, K.; Kennedy, Felbin C.

doi:10.9734/bpi/nramcs/v2/15822d

Cited by 2 publications

(2 citation statements)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Entire fuzzy-binomial options pricing models up (u) and down The fuzzy random binomial option pricing literature provides two approaches to calibrate fuzzy up and down moves u (𝑢 ̃) and d (𝑑 ̃). The first way consists of supposing that 𝑢 ̃ and 𝑑 ̃ are estimated by experts' judgments independently (Muzzioli & Torricelli, 2004;Muzzioli & Reynaerts H., 2007;Liao & Ho, 2010;Shine Yu et al, 2011;D'Amato et al, 2019;Shang et al, 2020;Meenakshi & Felbin, 2019;Wang et al, 2022, i.e., 𝑢 ̃ and 𝑑 ̃ are not connected quantifications or, alternatively, fitting a symmetric increase/decrease rate 𝑎 ̃ in such a way that 𝑢 ̃= 1 + 𝑎 ̃ and 𝑑 ̃= 1 − 𝑎 ̃ (Buckley & Eslami, 2007, 2008. In this last case, 𝑢 ̃ and 𝑑 ̃ are connected by the rate 𝑎 ̃.…”

Section: Analysis Of Fuzzy Binomial and Trinomial Option Pricing Lite...mentioning

confidence: 99%

A Systematic Overview of Fuzzy Random Option Pricing in Discrete Time and a Binomial Extension to Temporal Structure of Interest Rates

Andrés-Sánchez

2023

Preprint

View full text Add to dashboard Cite

This paper makes a bibliographical analysis of fuzzy set theory (FST) contributions to option pricing with a fuzzy-random approach with detailed attention to those based in the binomial lattice. Likewise, we extend the fuzzy-random approach to yield curve binomial modelling. The bibliographical analysis was performed by applying PRISMA guidelines in the SCOPUS and WoS databases. We first present a structured report of papers about the more general fuzzy-random option pricing (FROP) field and identify principal outlets. Within FROP, we focus on the more concrete fuzzy random discrete time option pricing (FROPDT) in binomial and trinomial lattices, which is developed in greater detail. We detect that this groundwork has been extended to price options on stocks, stock indexes and real options, but no work has been done in the field of the term structure of interest rates and fixed income securities. Thus, we propose a fuzzy extension of the Ho-Lee model that we apply to the European interbank market and to price caplets.

show abstract

Section: Analysis Of Fuzzy Binomial and Trinomial Option Pricing Lite...mentioning

confidence: 99%

A Systematic Overview of Fuzzy Random Option Pricing in Discrete Time and a Binomial Extension to Temporal Structure of Interest Rates

Andrés-Sánchez

2023

Preprint

View full text Add to dashboard Cite

show abstract

“…However, the fuzzy-random literature has also extended to more complex continuous time modeling, such as Lévy processes [33,34] or fractional-type random movements [35][36][37][38]. In discrete time, the most common approach is provided by the binomial framework [31], with examples in this context found in [39][40][41][42][43]. Although less common, FROP has also employed other discrete time approximations, such as the trinomial methodology developed in [43] and Monte Carlo simulation [44].…”

Section: Fuzzy-random Option Pricingmentioning

confidence: 99%

A Fuzzy-Random Extension of Jamshidian’s Bond Option Pricing Model and Compatible One-Factor Term Structure Models

Andrés-Sánchez

2023

Axioms

View full text Add to dashboard Cite

The primary objective of this paper is to expand Jamshidian’s bond option formula and compatible one-factor term structure models by incorporating the existence of uncertainty in the parameters governing interest-rate fluctuations. Specifically, we consider imprecision in the parameters related to the speed of reversion, equilibrium short-term interest rate, and volatility. To model this uncertainty, we utilize fuzzy numbers, which, in this context, are interpreted as epistemic fuzzy sets. The second objective of this study is to propose a methodology for estimating these parameters based on historical data. To do so, we use the possibility distribution functions capability to quantify imprecise probability distributions. Furthermore, this paper presents an application to the term structure of fixed-income bonds with the highest credit rating in the Euro area. This empirical application allows for evaluating the effectiveness of the fuzzy extension in fitting the dynamics of interest rates and assessing the suitability of the proposed extension.

show abstract

A Study of Discrete Time Pricing American Fuzzy Put Option Model on Fuzzy Future Contract in Seller's Perspective using a Special Class of Fuzzy Numbers

Cited by 2 publications

References 0 publications

A Systematic Overview of Fuzzy Random Option Pricing in Discrete Time and a Binomial Extension to Temporal Structure of Interest Rates

A Systematic Overview of Fuzzy Random Option Pricing in Discrete Time and a Binomial Extension to Temporal Structure of Interest Rates

A Fuzzy-Random Extension of Jamshidian’s Bond Option Pricing Model and Compatible One-Factor Term Structure Models

Contact Info

Product

Resources

About