In this paper we show that the so called fuzzy--stochastic approach in financial models is an efficient way to handle the uncertainty about parameters. We show the possible applications in the option pricing models with a constant and stochastic volatility. Fuzzy numbers, extension principle, sensitivity analysis, fuzzy stochastic approach in financial models, option pricing models.
Titolo: | Uncertain parameters as fuzzy numbers in option pricing models |
Autore/i: | G. Figà Talamanca; GUERRA, MARIA LETIZIA; L. Sorini; L. Stefanini |
Autore/i Unibo: | |
Anno: | 2010 |
Titolo del libro: | Proceedings of the 47th Meeting of the Euro Working Group on Financial Modelling |
Pagina iniziale: | 63 |
Pagina finale: | 72 |
Abstract: | In this paper we show that the so called fuzzy--stochastic approach in financial models is an efficient way to handle the uncertainty about parameters. We show the possible applications in the option pricing models with a constant and stochastic volatility. Fuzzy numbers, extension principle, sensitivity analysis, fuzzy stochastic approach in financial models, option pricing models. |
Data prodotto definitivo in UGOV: | 17-feb-2011 |
Appare nelle tipologie: | 4.01 Contributo in Atti di convegno |
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