Building fuzzy variance gamma option pricing models with jump levy process

Zhang, H. and Watada, J. (2018) Building fuzzy variance gamma option pricing models with jump levy process. Smart Innovation, Systems and Technologies, 73. pp. 105-116.

Full text not available from this repository.
Official URL: https://www.scopus.com/inward/record.uri?eid=2-s2....

Abstract

Option pricing models are at core of financial area, and it includes various uncertain factors, such as the randomness and fuzziness. This paper constructs an jump Levy process by combining option pricing models with fuzzy theory, and it sets the drift, diffusion and trend terms as fuzzy random variable. Then, we adopts a Monte Carlo algorithm for numerical simulation, compares and analyses the variance gamma (VG) option pricing model through a simulation experiment, and determines the VG option pricing model and BS model pricing results. The results indicate that VG option pricing with fuzzy settings is feasible. © Springer International Publishing AG 2018.

Item Type: Article
Impact Factor: cited By 0; Conference of 9th KES International Conference on Intelligent Decision Technologies, KES-IDT 2017 ; Conference Date: 21 June 2017 Through 23 June 2017; Conference Code:192309
Uncontrolled Keywords: Costs; Electronic trading; Financial markets; Fuzzy set theory; Fuzzy systems; Intelligent systems; Monte Carlo methods; Random processes; Random variables, European-style option; Fuzzy random variable; Fuzzy settings; Levy process; Monte carlo algorithms; Option pricing; Option pricing models; Uncertain factors, Economics
Depositing User: Mr Ahmad Suhairi Mohamed Lazim
Date Deposited: 26 Feb 2019 03:17
Last Modified: 26 Feb 2019 03:17
URI: http://scholars.utp.edu.my/id/eprint/21292

Actions (login required)

View Item
View Item