Pricing European Call Currency Option Based on Fuzzy Estimators - Applied Mathematics

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AM> Vol.2 No.4, April 2011

Applied Mathematics

Volume 2, Issue 4 (April 2011)

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

Google-based Impact Factor: 0.83 Citations

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Pricing European Call Currency Option Based on Fuzzy Estimators

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DOI: 10.4236/am.2011.24058 4,988 Downloads 8,375 Views

Author(s)

Xing Yu, Hongguo Sun, Guohua Chen

Affiliation(s)

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.

KEYWORDS

Currency Option, Fuzzy Estimators, Fuzzy Volatility, G-K Model

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.

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