We propose extensions and distorsion techniques to improve the flexibility of λ-fuzzy measures. As for extensions, we suggest to use the family of Archimedean t-conorms as generators of the fuzzy measures. As for distortions, we propose the composition or patchwork of different generators. As an example of application, we show that in option pricing these techniques substantially improve the flexibility of the model to reproduce features observed from market data that only one Archimedean generator would not be able to represent.
Extensions and distortions of λ-fuzzy measures / Cherubini U.; Mulinacci S.. - In: FUZZY SETS AND SYSTEMS. - ISSN 0165-0114. - ELETTRONICO. - 412:(2021), pp. 27-40. [10.1016/j.fss.2020.02.014]
Extensions and distortions of λ-fuzzy measures
Cherubini U.
;Mulinacci S.
2021
Abstract
We propose extensions and distorsion techniques to improve the flexibility of λ-fuzzy measures. As for extensions, we suggest to use the family of Archimedean t-conorms as generators of the fuzzy measures. As for distortions, we propose the composition or patchwork of different generators. As an example of application, we show that in option pricing these techniques substantially improve the flexibility of the model to reproduce features observed from market data that only one Archimedean generator would not be able to represent.| File | Dimensione | Formato | |
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Cherubini_Mulinacci.pdf
Open Access dal 01/03/2022
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