Applied Mathematics

Volume 2, Issue 4 (April 2011)

ISSN Print: 2152-7385   ISSN Online: 2152-7393

Google-based Impact Factor: 0.58  Citations  

Pricing European Call Currency Option Based on Fuzzy Estimators

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DOI: 10.4236/am.2011.24058    5,272 Downloads   9,048 Views  Citations

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ABSTRACT

In this paper we present an application of fuzzy estimators method to price European call currency option. We make use of fuzzy estimators for the volatility of exchange rate which based on statistical data to obtain the fuzzy pattern of G-K model. A numerical example is presented to get the -level closed intervals of the European call currency option fuzzy price.

Share and Cite:

X. Yu, H. Sun and G. Chen, "Pricing European Call Currency Option Based on Fuzzy Estimators," Applied Mathematics, Vol. 2 No. 4, 2011, pp. 461-464. doi: 10.4236/am.2011.24058.

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