IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Pricing Brazilian exchange rate options using an adaptive network-based fuzzy inference system

Listed author(s):
  • Maciel, Leandro S.

    (University of Campinas)

Registered author(s):

    Recently, option pricing has become the focus of risk managers, policymakers, traders and more generally all market participants, since they find valuable information in these contracts. This paper suggests the pricing performance evaluation on Brazilian exchange rate R$ (Reais) per US$ (U.S. Dollar) option contracts, traded at the Brazilian derivatives market, using an adaptive network-based fuzzy inference system, for the period from April 1999 to April 2009. A fuzzy rule-based system was built with a family of conditional if-then statements whose consequent are functions of the antecedents, and then composed with the aid of fuzzy neurons. The ANFIS model was compared against the Black closed-form formula and some neural networks topologies, considering traditional error measures and statistical tests. The results showed that the ANFIS model outperforms closed-form formula methodology in pricing Brazilian currency options, mainly for out-of-the money contracts.

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Article provided by International Association for Fuzzy-set Management and Economy (SIGEF) in its journal FUZZY ECONOMIC REVIEW.

    Volume (Year): XVI (2011)
    Issue (Month): 2 (November)
    Pages: 59-73

    in new window

    Handle: RePEc:fzy:fuzeco:v:xvi:y:2011:i:2:p:59-73
    Contact details of provider: Phone: +34 977759833
    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:fzy:fuzeco:v:xvi:y:2011:i:2:p:59-73. See general 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: (Aurelio Fernandez)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.