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Option prices by differential evolution

Author

Listed:
  • Maria Letizia Guerra

    (Department of Mathematics, University of Bologna)

  • Laerte Sorini

    (Department of Economics, Society & Politics, Università di Urbino "Carlo Bo)

  • Luciano Stefanini

    (Department of Economics, Society & Politics, Università di Urbino "Carlo Bo)

Abstract

Option price models in uncertainty conditions may be the proper way to show that the possibilistic mean values produce computation results that may differ in a non trivial may from those obtained with the fuzzy extension principle. In this paper we compare several models for option prices to underline the relevance of the applied methodologies. Length: 13 pages

Suggested Citation

  • Maria Letizia Guerra & Laerte Sorini & Luciano Stefanini, 2015. "Option prices by differential evolution," Working Papers 1511, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2015.
    • Handle: RePEc:urb:wpaper:15_11
    as

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    File URL: http://www.econ.uniurb.it/RePEc/urb/wpaper/WP_15_11.pdf
    File Function: First version, 2015
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    References listed on IDEAS

    as
    1. Gianna Figa-Talamanca & Maria Letizia Guerra, 2012. "Market Application of the Fuzzy-Stochastic Approach in the Heston Option Pricing Model," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(2), pages 162-179, May.
    2. Figà-Talamanca, G. & Guerra, M.L. & Stefanini, L., 2011. "Fuzzy uncertainty in the heston stochastic volatility model," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(2), pages 3-19, November.
    3. Zmeskal, Zdenek, 2001. "Application of the fuzzy-stochastic methodology to appraising the firm value as a European call option," European Journal of Operational Research, Elsevier, vol. 135(2), pages 303-310, December.
    4. Yoshida, Yuji, 2003. "The valuation of European options in uncertain environment," European Journal of Operational Research, Elsevier, vol. 145(1), pages 221-229, February.
    5. Figa-Talamanca, Gianna & Guerra, Maria Letizia, 2006. "Fitting prices with a complete model," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 247-258, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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