A NOVEL OPTION PRICING MODEL VIA FUZZY BINOMIAL DECISION TREE

被引：0

作者：

Yu, Shang-En Shine ^{[2
]}

Huarng, Kun-Huang ^{[3
]}

Li, Ming-Yuan Leon ^{[2
]}

Chen, Chen-Yuan ^{[1
,4
]}

机构：

[1] Natl Pingtung Univ Educ, Dept Comp Sci, Pingtung 900, Taiwan

[2] Natl Cheng Kung Univ, Grad Inst Finance & Banking, Tainan 701, Taiwan

[3] Feng Chia Univ, Dept Int Trade, Taichung 40724, Taiwan

[4] Natl Kaohsiung First Univ Sci & Technol, Doctoral Program Management, Kaohsiung 811, Taiwan

来源：

INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL | 2011年 / 7卷 / 02期

关键词：

Degree of membership; Fuzzy set; Pricing; NONLINEAR-SYSTEMS; NEURAL-NETWORK; TIME; ASSOCIATION; SETS;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

A binomial tree option pricing model has been widely applied to compute the optimal price of a warrant. Hence, many studies attempted to propose the variation of the model to improve the pricing capability. This study works on the volatility (fuzzy volatility) in the binomial tree option pricing model and proposes a fuzzy pricing model. Applying the fuzzy binomial option tree pricing model, more stock and call prices with their corresponding possibilities can be obtained. The richer information allows investors of different tendencies to adjust their portfolios. Meanwhile, the call price tends to be closer to the market price than its counterpart. Hence, the fuzzy model is favored.

引用

页码：709 / 718

页数：10

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