About: The Case of Imprecisely Stated Volatility: A Fuzzy-Random Approach to Option Pricing

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The option pricing model performance crucially depends on the ability to estimate all necessary input parameters successfully. Within the standard models of Black-Scholes type, the most important parameter is volatility. Since it is often very difficult to obtain a single number, an alternative can be to apply interval approach or more generalized fuzzy-random approach. In this paper recent knowledge of fuzzy numbers and their approximations is utilized in order to suggest fuzzy-random simulation approach to option price modeling, ie. we use fuzzy-random variables. In particular, we suggest to replace a crisp volatility parameter in the standard market model (ie. Black-Scholes type) by a fuzzy random variable, which can be easily evaluated by Monte Carlo simulation. Application possibilities are shown on illustrative examples. In particular, we evaluate the model for various input data and option types. The results are compared to the Black-Scholes option price and market option prices. The option pricing model performance crucially depends on the ability to estimate all necessary input parameters successfully. Within the standard models of Black-Scholes type, the most important parameter is volatility. Since it is often very difficult to obtain a single number, an alternative can be to apply interval approach or more generalized fuzzy-random approach. In this paper recent knowledge of fuzzy numbers and their approximations is utilized in order to suggest fuzzy-random simulation approach to option price modeling, ie. we use fuzzy-random variables. In particular, we suggest to replace a crisp volatility parameter in the standard market model (ie. Black-Scholes type) by a fuzzy random variable, which can be easily evaluated by Monte Carlo simulation. Application possibilities are shown on illustrative examples. In particular, we evaluate the model for various input data and option types. The results are compared to the Black-Scholes option price and market option prices. (en)
Title	The Case of Imprecisely Stated Volatility: A Fuzzy-Random Approach to Option Pricing The Case of Imprecisely Stated Volatility: A Fuzzy-Random Approach to Option Pricing (en)
skos:prefLabel	The Case of Imprecisely Stated Volatility: A Fuzzy-Random Approach to Option Pricing The Case of Imprecisely Stated Volatility: A Fuzzy-Random Approach to Option Pricing (en)
skos:notation	RIV/61989100:27510/12:86083106!RIV13-MSM-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(ED1.1.00/02.0070), S
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Tichý, Tomáš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	126050
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/12:86083106
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Monte Carlo simulation; plain vanilla option; fuzzy random variable (en)
http://linked.open.../riv/klicoveSlovo	fuzzy random variable plain vanilla option Monte Carlo simulation
http://linked.open...ontrolniKodProRIV	[84BBD17513E8]
http://linked.open...v/mistoKonaniAkce	Ostrava
http://linked.open...i/riv/mistoVydani	Karviná
http://linked.open...i/riv/nazevZdroje	Proceedings of the 13th International Conference on Finance and Banking : 12-13 October 2011, Ostrava, Czech Republic
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	IT4Innovations Centre of Excellence
http://linked.open...UplatneniVysledku	2012
http://linked.open...iv/tvurceVysledku	Michal, Holčapek Tichý, Tomáš
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open...ain/vavai/riv/wos	000309369700013
http://linked.open.../riv/zahajeniAkce	2011-10-12 (xsd:date)
number of pages	9 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Silesian University, School of Business Administration
https://schema.org/isbn	978-80-7248-753-0
http://localhost/t...ganizacniJednotka	27510

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