Fuzzy Option Pricing Model

Fuzzy Option Pricing Model

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 90 === Option is a tool that investors often use to arbitrage or hedge. However, either Black-Scholes model or CRR model can only provide a theoretical reference value. This paper applies fuzzy set to the CRR model. It is expected that the fuzzy volatility, instead of...

Full description

Bibliographic Details
Main Authors: Shang-En Yu, 余尚恩
Other Authors: Kun-Huang Huarng
Format: Others
Language:en_US
Published: 2002
Online Access:http://ndltd.ncl.edu.tw/handle/13974811463039935724
id ndltd-TW-090CYUT5304033
record_format oai_dc
spelling ndltd-TW-090CYUT53040332015-10-13T17:35:25Z http://ndltd.ncl.edu.tw/handle/13974811463039935724 Fuzzy Option Pricing Model 模糊選擇權評價模型 Shang-En Yu 余尚恩 碩士 朝陽科技大學 財務金融系碩士班 90 Option is a tool that investors often use to arbitrage or hedge. However, either Black-Scholes model or CRR model can only provide a theoretical reference value. This paper applies fuzzy set to the CRR model. It is expected that the fuzzy volatility, instead of the crisp one as in conventional CRR model, can provide reasonable ranges and corresponding memberships of option prices. As a result, investors with various risk preferences can interpret the optimal differently. Kun-Huang Huarng 黃焜煌 2002 學位論文 ; thesis 39 en_US
collection NDLTD
language en_US
format Others
sources NDLTD
description 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 90 === Option is a tool that investors often use to arbitrage or hedge. However, either Black-Scholes model or CRR model can only provide a theoretical reference value. This paper applies fuzzy set to the CRR model. It is expected that the fuzzy volatility, instead of the crisp one as in conventional CRR model, can provide reasonable ranges and corresponding memberships of option prices. As a result, investors with various risk preferences can interpret the optimal differently.
author2 Kun-Huang Huarng
author_facet Kun-Huang Huarng
Shang-En Yu
余尚恩
author Shang-En Yu
余尚恩
spellingShingle Shang-En Yu
余尚恩
Fuzzy Option Pricing Model
author_sort Shang-En Yu
title Fuzzy Option Pricing Model
title_short Fuzzy Option Pricing Model
title_full Fuzzy Option Pricing Model
title_fullStr Fuzzy Option Pricing Model
title_full_unstemmed Fuzzy Option Pricing Model
title_sort fuzzy option pricing model
publishDate 2002
url http://ndltd.ncl.edu.tw/handle/13974811463039935724
work_keys_str_mv AT shangenyu fuzzyoptionpricingmodel
AT yúshàngēn fuzzyoptionpricingmodel
AT shangenyu móhúxuǎnzéquánpíngjiàmóxíng
AT yúshàngēn móhúxuǎnzéquánpíngjiàmóxíng
_version_ 1717783019658412032

Similar Items