TITLE:
Pricing European Call Currency Option Based on Fuzzy Estimators
AUTHORS:
Xing Yu, Hongguo Sun, Guohua Chen
KEYWORDS:
Currency Option, Fuzzy Estimators, Fuzzy Volatility, G-K Model
JOURNAL NAME:
Applied Mathematics,
Vol.2 No.4,
March
31,
2011
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.