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Building fuzzy variance gamma option pricing models with jump levy process

Option pricing models are at core of financial area, and it includes various uncertain factors, such as the randomness and fuzziness. This paper constructs an jump Levy process by combining option pricing models with fuzzy theory, and it sets the drift, diffusion and trend terms as fuzzy random vari...

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Main Authors: Zhang, H., Watada, J.
Format: Article
Published: Springer Science and Business Media Deutschland GmbH 2018
Online Access:https://www.scopus.com/inward/record.uri?eid=2-s2.0-85020452162&doi=10.1007%2f978-3-319-59424-8_10&partnerID=40&md5=4e6a5ce7c9192097c13ab05c3830b5dd
http://eprints.utp.edu.my/21942/
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spelling my.utp.eprints.219422019-02-20T01:58:13Z Building fuzzy variance gamma option pricing models with jump levy process Zhang, H. Watada, J. Option pricing models are at core of financial area, and it includes various uncertain factors, such as the randomness and fuzziness. This paper constructs an jump Levy process by combining option pricing models with fuzzy theory, and it sets the drift, diffusion and trend terms as fuzzy random variable. Then, we adopts a Monte Carlo algorithm for numerical simulation, compares and analyses the variance gamma (VG) option pricing model through a simulation experiment, and determines the VG option pricing model and BS model pricing results. The results indicate that VG option pricing with fuzzy settings is feasible. © Springer International Publishing AG 2018. Springer Science and Business Media Deutschland GmbH 2018 Article PeerReviewed https://www.scopus.com/inward/record.uri?eid=2-s2.0-85020452162&doi=10.1007%2f978-3-319-59424-8_10&partnerID=40&md5=4e6a5ce7c9192097c13ab05c3830b5dd Zhang, H. and Watada, J. (2018) Building fuzzy variance gamma option pricing models with jump levy process. Smart Innovation, Systems and Technologies, 73 . pp. 105-116. http://eprints.utp.edu.my/21942/
institution Universiti Teknologi Petronas
building UTP Resource Centre
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Petronas
content_source UTP Institutional Repository
url_provider http://eprints.utp.edu.my/
description Option pricing models are at core of financial area, and it includes various uncertain factors, such as the randomness and fuzziness. This paper constructs an jump Levy process by combining option pricing models with fuzzy theory, and it sets the drift, diffusion and trend terms as fuzzy random variable. Then, we adopts a Monte Carlo algorithm for numerical simulation, compares and analyses the variance gamma (VG) option pricing model through a simulation experiment, and determines the VG option pricing model and BS model pricing results. The results indicate that VG option pricing with fuzzy settings is feasible. © Springer International Publishing AG 2018.
format Article
author Zhang, H.
Watada, J.
spellingShingle Zhang, H.
Watada, J.
Building fuzzy variance gamma option pricing models with jump levy process
author_facet Zhang, H.
Watada, J.
author_sort Zhang, H.
title Building fuzzy variance gamma option pricing models with jump levy process
title_short Building fuzzy variance gamma option pricing models with jump levy process
title_full Building fuzzy variance gamma option pricing models with jump levy process
title_fullStr Building fuzzy variance gamma option pricing models with jump levy process
title_full_unstemmed Building fuzzy variance gamma option pricing models with jump levy process
title_sort building fuzzy variance gamma option pricing models with jump levy process
publisher Springer Science and Business Media Deutschland GmbH
publishDate 2018
url https://www.scopus.com/inward/record.uri?eid=2-s2.0-85020452162&doi=10.1007%2f978-3-319-59424-8_10&partnerID=40&md5=4e6a5ce7c9192097c13ab05c3830b5dd
http://eprints.utp.edu.my/21942/
_version_ 1738656359952416768
score 13.214268

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