Application Fuzzy Simulation to Evaluate Option

Shu Xia Liu; Zhao Hua Chai; Jian Sheng Hu; Zhuo Zhao

doi:10.4028/www.scientific.net/AMR.461.802

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HomeAdvanced Materials ResearchAdvanced Materials Research Vol. 461Application Fuzzy Simulation to Evaluate Option

Application Fuzzy Simulation to Evaluate Option

Abstract:

The current work attempts to evaluate the option from a novel perspective, fuzzy simulation technique, one of the evolutionary computational approaches. This paper proposes a random fuzzy jump-diffusion option pricing model, where the volatility and the jumps intensity are depicted as fuzzy variables, respectively. Fuzzy simulation technique is designed to estimate the membership degree and the expected value of the option. The rough figures of the expected value of option can be obtained. Finally, the application of the methodology is demonstrated by a numerical example.

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Periodical:

Advanced Materials Research (Volume 461)

Pages:

802-805

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.461.802

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Online since:

February 2012

Authors:

Shu Xia Liu, Zhao Hua Chai, Jian Sheng Hu, Zhuo Zhao

Keywords:

Fuzzy Simulation, Option Pricing, Random Fuzzy Variables

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