A fuzzy set approach for generalized CRR model: An empirical analysis of S&P 500 index options

被引：20
|
作者：
Lee C.F. [1 ,2 ]
Tzeng G.-H. [3 ,4 ]
Wang S.-Y. [5 ,6 ]
机构：
[1] Rutgers Business School, Piscataway, NJ 08854
[2] Institute of Financial Management, National Chiao Tung University, Hsinchu 300
[3] Department of Business Administration, Kainan University, Luchu Shiang, Taoyuan 338
[4] Institute of Management Technology, National Chiao Tung University, Hsinchu 300
[5] Institute of Management Science, National Chiao Tung University, Hsinchu 300
[6] Department of Finance, National Dong Hwa University, Shou-Feng, Hualien 974, 1, Sec. 2, Da-Hsueh Rd.
来源：
Review of Quantitative Finance and Accounting | 2005年 / 25卷 / 3期
关键词：
A generalized CRR model; Fuzzy binomial OPM; fuzzy set theory; Option pricing model (OPM); Portfolio strategy; Triangular fuzzy number;
D O I：
10.1007/s11156-005-4767-1
中图分类号：
学科分类号：
摘要：
This paper applies fuzzy set theory to the Cox, Ross and Rubinstein (CRR) model to set up the fuzzy binomial option pricing model (OPM). The model can provide reasonable ranges of option prices, which many investors can use it for arbitrage or hedge. Because of the CRR model can provide only theoretical reference values for a generalized CRR model in this article we use fuzzy volatility and fuzzy riskless interest rate to replace the corresponding crisp values. In the fuzzy binomial OPM, investors can correct their portfolio strategy according to the right and left value of triangular fuzzy number and they can interpret the optimal difference, according to their individual risk preferences. Finally, in this study an empirical analysis of S&P 500 index options is used to find that the fuzzy binomial OPM is much closer to the reality than the generalized CRR model. © 2005 Springer Science + Business Media, Inc.
引用
收藏
页码：255 / 275
页数：20
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