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Statements

Subject Item
n2:RIV%2F61988987%3A17610%2F11%3AA12012TD%21RIV12-MSM-17610___
rdf:type
n12:Vysledek skos:Concept
dcterms:description
Very nice applications of the stochastic simulation approach, both via MC and QMC, can be found in all areas that rely on modeling via stochastic processes, such as finance. However, since estimation of financial quantities is often very challenging, many scholars suggest to specify some parts of financial models by means of fuzzy sets theory. In this contribution the recent knowledge of fuzzy numbers and their approximation is utilized in order to suggest fuzzy-MC simulation approach to option price modeling in terms of fuzzy-random variables. In particular, we suggest to replace a crisp volatility parameter in the standard market model by a fuzzy random variable, which can be easily evaluated by Monte Carlo simulation. Application possibilities are shown on illustrative examples. Very nice applications of the stochastic simulation approach, both via MC and QMC, can be found in all areas that rely on modeling via stochastic processes, such as finance. However, since estimation of financial quantities is often very challenging, many scholars suggest to specify some parts of financial models by means of fuzzy sets theory. In this contribution the recent knowledge of fuzzy numbers and their approximation is utilized in order to suggest fuzzy-MC simulation approach to option price modeling in terms of fuzzy-random variables. In particular, we suggest to replace a crisp volatility parameter in the standard market model by a fuzzy random variable, which can be easily evaluated by Monte Carlo simulation. Application possibilities are shown on illustrative examples.
dcterms:title
Option Pricing with fuzzy parameters via Monte Carlo simulation Option Pricing with fuzzy parameters via Monte Carlo simulation
skos:prefLabel
Option Pricing with fuzzy parameters via Monte Carlo simulation Option Pricing with fuzzy parameters via Monte Carlo simulation
skos:notation
RIV/61988987:17610/11:A12012TD!RIV12-MSM-17610___
n12:predkladatel
n18:orjk%3A17610
n3:aktivita
n21:V
n3:aktivity
V
n3:dodaniDat
n9:2012
n3:domaciTvurceVysledku
n11:1733362
n3:druhVysledku
n15:D
n3:duvernostUdaju
n20:S
n3:entitaPredkladatele
n8:predkladatel
n3:idSjednocenehoVysledku
218812
n3:idVysledku
RIV/61988987:17610/11:A12012TD
n3:jazykVysledku
n16:eng
n3:klicovaSlova
fuzzy random variable; fuzzy stochastic process; option pricing
n3:klicoveSlovo
n10:option%20pricing n10:fuzzy%20random%20variable n10:fuzzy%20stochastic%20process
n3:kontrolniKodProRIV
[0F6C260FE753]
n3:mistoKonaniAkce
Dalian, China
n3:mistoVydani
Německo
n3:nazevZdroje
Proc. of ISAEBD 2011
n3:obor
n4:BB
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
2
n3:rokUplatneniVysledku
n9:2011
n3:tvurceVysledku
Tichý, Tomáš Holčapek, Michal
n3:typAkce
n14:WRD
n3:zahajeniAkce
2011-08-06+02:00
s:numberOfPages
9
n17:hasPublisher
Springer-Verlag. (Berlin; Heidelberg)
n5:isbn
978-3-642-23061-5
n7:organizacniJednotka
17610