Pricing European Call Currency Option Based on Fuzzy Estimators
Xing Yu, Hongguo Sun, Guohua Chen
DOI: 10.4236/am.2011.24058   PDF    HTML     5,263 Downloads   9,031 Views   Citations


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.

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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.

Conflicts of Interest

The authors declare no conflicts of interest.


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