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Pricing European Call Currency Option Based on Fuzzy Estimators

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DOI: 10.4236/am.2011.24058    4,852 Downloads   8,208 Views  


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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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.


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