Pricing currency options based on fuzzy techniques
AbstractOwing to the fluctuation of financial markets from time to time, some financial variables can always be observed with perturbations and be expected in the imprecise sense. Therefore, this paper starts from the fuzzy environments of currency options markets, introduces fuzzy techniques, and gives a fuzzy currency options pricing model. By turning exchange rate, interest rates and volatility into triangular fuzzy numbers, the currency option price will turn into a fuzzy number. This makes the financial investors who can pick any currency option price with an acceptable belief degree for their later use. In order to obtain the belief degree, an optimization procedure has been applied. An empirical study is performed based on daily foreign exchange market data. The empirical study results indicate that the fuzzy currency options pricing method is a useful tool for modeling the imprecise problem in the real world.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 193 (2009)
Issue (Month): 2 (March)
Contact details of provider:
Web page: http://www.elsevier.com/locate/eor
Finance Pricing Fuzzy sets Currency options;
You can help add them by filling out this form.
reading lists or Wikipedia pages:Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.