Evidence-based decision-making: On the use of systematicity cases to check the compliance of reviews with reporting guidelines such as PRISMA 2020

Belle, Alvine Boaye; Zhao, Yixi

doi:10.1016/j.eswa.2023.119569

Cited by 18 publications

(4 citation statements)

References 70 publications

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“…The bibliographical assestment performed in this paper was performed by using PRISMA guidelines (Belle & Zhao, 2023). It requires indicating the strategies to find the works to be revised, the databases used, the conditions to be considered, and exploration procedures.…”

Section: Methodsmentioning

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

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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.

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Section: Methodsmentioning

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

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“…The bibliographic review was conducted following the PRISMA guidelines [24]. Its implementation required us to specify the methodology used to search for the documents to be reviewed, the databases where these documents should be found, the types of documents that will be considered, etc.…”

Section: Methodsmentioning

confidence: 99%

Fuzzy Random Option Pricing in Continuous Time: A Systematic Review and an Extension of Vasicek’s Equilibrium Model of the Term Structure

Andrés-Sánchez

2023

Mathematics

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Fuzzy random option pricing in continuous time (FROPCT) has emerged as an active research field over the past two decades; thus, there is a need for a comprehensive review that provides a broad perspective on the literature and identifies research gaps. In this regard, we conducted a structure review of the literature by using the WoS and SCOPUS databases while following the PRISMA criteria. With this review, we outline the primary research streams, publication outlets, and notable authors in this domain. Furthermore, the literature review revealed a lack of advancements for the equilibrium models of the yield curve. This finding serves as a primary motivation for the second contribution of this paper, which involves an extension of Vasicek’s yield curve equilibrium model. Specifically, we introduce the existence of fuzzy uncertainty in the parameters governing interest rate movements, including the speed of reversion, equilibrium short-term interest rate, and volatility. By incorporating fuzzy uncertainty, we enhance the model’s ability to capture the complexities of real-world interest rate dynamics. Moreover, this paper presents an empirical application of the proposed extension to the term structure of fixed-income public bonds in European Union. The empirical analysis suggests the suitability of the proposed extension of Vasicek’s model for practical applications.

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“…The bibliographic review was conducted following the PRISMA guidelines [22]. Its implementation requires specifying the methodology used to search for the documents to be reviewed, the databases where these documents should be found, the types of documents that will be considered, etc.…”

Section: Of 21mentioning

confidence: 99%

“…Additionally, we only analysed works written in English. We chose to combine two databases, SCOPUS and WoS, in this review, as they are commonly used in bibliographic reviews, and it is recommended to combine more than one bibliographic source when the topic is not very broad [22].…”

Section: Of 21mentioning

confidence: 99%

Fuzzy Random Option Pricing in Continuous Time: A Systematic Review and an Extension of Vasicek’s Equilibrium Model of the Term Structure

Andrés-Sánchez¹

2023

Preprint

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This paper has a twofold objective. The first aim is to present a comprehensive bibliographical analysis of journal articles and book chapters on fuzzy-random option pricing (FROP) over the WoS and SCOPUS databases. It follows PRISMA criteria and takes special care of developments in continuous time. Thus, we described the principal findings about the research streams, outlets and authors of this topic and lets us suggest further research. The second contribution is motivated by the fact that the bibliographical revision has identified a lack of developments on equilibrium models on the yield curve. This question motivates extending Vasicek’s yield curve equilibrium model to introduce fuzziness in the parameters that govern interest rate movements (speed of reversion, equilibrium short-term interest rate, and volatility). Likewise, this paper develops an empirical application on the term structure of fixed income public bonds with the highest credit rating in the Euro area.

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Evidence-based decision-making: On the use of systematicity cases to check the compliance of reviews with reporting guidelines such as PRISMA 2020

Cited by 18 publications

References 70 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

Fuzzy Random Option Pricing in Continuous Time: A Systematic Review and an Extension of Vasicek’s Equilibrium Model of the Term Structure

Fuzzy Random Option Pricing in Continuous Time: A Systematic Review and an Extension of Vasicek’s Equilibrium Model of the Term Structure

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