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Pricing European Call Currency Option Based on Fuzzy Estimators

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DOI: 10.4236/am.2011.24058    4,802 Downloads   8,146 Views  

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.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

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.

References

[1] G. Sarwar and T. Krehbiel, “Empirical Performance of Alternative Piecing Models of Currency Options,” The Journal of Futures Markets, Vol. 20, No. 2, March 2000, pp. 265-291. doi:10.1002/(SICI)1096-9934(200003)20:3<265::AID-FUT4>3.0.CO;2-4
[2] P. B. N. Bollen and E. Rasiel, “The Performance of Alternative Valuation Models in the OTC Currency Options Market,” Journal of International Money and Finance, Vol. 22, No. 1, February 2003, pp. 33-64. doi:10.1016/S0261-5606(02)00073-6
[3] A. Thavaneswaran, J. Singh and S. S. Appadoo, “Option Pricing for Some Stochastic Volatility Models,” The Journal of Risk Finance, Vol. 7, No. 4, 2006, pp. 425-445. doi:10.1108/15265940610688982
[4] G. J. Klir and B. Yuan, “Fuzzy Sets and Fuzzy Logic: Theory and Applications,” Prentice Hall, Englewood Cliffs, 1995.
[5] http://www.123cha.com/hl/?q=100&from=EUR&to=CNY&s=EURCNY#symbol=EURCNY=X;range=3m%

  
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