About: Option pricing via simulation with imprecise data     Goto   Sponge   NotDistinct   Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

AttributesValues
rdf:type
Description
  • In this paper we show, that the volatility can be treated not only as a crisp number or described by its probability distribution but also formulated as an interval value. It is supposed that it can be of any value within its extremes (with given possibility) so that it can be specified as a fuzzy number. Subsequently, we run a fuzzy simulation to get the expected value and combine it with geometric Brownian motion to produce Fuzzy Monte Carlo simulation. Hence, we suppose the Black and Scholes world with unknown volatility. Finally, we can get not only the extremes of option prices, but also its fuzzy expected value, depending on the problem specification.
  • In this paper we show, that the volatility can be treated not only as a crisp number or described by its probability distribution but also formulated as an interval value. It is supposed that it can be of any value within its extremes (with given possibility) so that it can be specified as a fuzzy number. Subsequently, we run a fuzzy simulation to get the expected value and combine it with geometric Brownian motion to produce Fuzzy Monte Carlo simulation. Hence, we suppose the Black and Scholes world with unknown volatility. Finally, we can get not only the extremes of option prices, but also its fuzzy expected value, depending on the problem specification. (en)
  • V tomto článku je studován simulační přístup k oceňování opcí v rámci existence nepřesných dat. Kromě základních typů deterministické, stochastické, intervalové a fuzzy proměnné jsou uvedeny hybridní případy fuzzy-náhodně a náhodné-fuzzy proměnné. Na jejich základě jsou v článku představeny principy stochastické simulace, fuzzy simulace a dvou případů FZMC (Fuzzy-Monte Carlo) simulace s aplikací na ocenění evropské call a put opce. Jako specifický případ je studován vliv volatility, respektive různé úrovně znalostí o jejím charakteru. (cs)
Title
  • Option pricing via simulation with imprecise data
  • Oceňování opcí pomocí simulací s nepřesnými daty (cs)
  • Option pricing via simulation with imprecise data (en)
skos:prefLabel
  • Option pricing via simulation with imprecise data
  • Oceňování opcí pomocí simulací s nepřesnými daty (cs)
  • Option pricing via simulation with imprecise data (en)
skos:notation
  • RIV/61989100:27510/06:00013493!RIV07-GA0-27510___
http://linked.open.../vavai/riv/strany
  • 356-371
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GP402/05/P085)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 490962
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/06:00013493
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Option pricing; volatility; uncertain input; Monte Carlo simulation; fuzzy simulation; Fuzzy Monte Carlo simulation (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [E0AF64463959]
http://linked.open...i/riv/mistoVydani
  • Ostrava
http://linked.open...i/riv/nazevZdroje
  • Řízení a modelování finančních rizik - Managing and Modelling of Financial Risks
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Tichý, Tomáš
number of pages
http://purl.org/ne...btex#hasPublisher
  • Vysoká škola báňská - Technická univerzita Ostrava. Ekonomická fakulta
https://schema.org/isbn
  • 80-248-1159-6
http://localhost/t...ganizacniJednotka
  • 27510
Faceted Search & Find service v1.16.118 as of Jun 21 2024


Alternative Linked Data Documents: ODE     Content Formats:   [cxml] [csv]     RDF   [text] [turtle] [ld+json] [rdf+json] [rdf+xml]     ODATA   [atom+xml] [odata+json]     Microdata   [microdata+json] [html]    About   
This material is Open Knowledge   W3C Semantic Web Technology [RDF Data] Valid XHTML + RDFa
OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 59 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software