Incorporation of Fuzzy Logic to the Black-Scholes Model in Exchange Option Pricing

Since the introduction of the uncertainty theory, a new paradigm in economy and finance is formed with the incorporation of new models that allow a greater degree of accuracy to the reality of the environment of organizations based on the fuzzy logic theory. This article emphasizes the importance of the uncertainty present in the financial markets, which has provoked an increasing need of establishing models to determine its effect in pricing, as it is the case of the futures and derivatives markets. A proposal is developed to determine the price of an exchange option applying triangular fuzzy numbers to exchange rate variables, and to domestic interest rates, and foreign interest rates based on the classic Black-Scholes (B-S) model.