eprintid: 10963
rev_number: 2
eprint_status: archive
userid: 1
dir: disk0/00/01/09/63
datestamp: 2023-11-09 16:37:34
lastmod: 2023-11-09 16:37:34
status_changed: 2023-11-09 16:32:37
type: article
metadata_visibility: show
creators_name: Zhang, H.
creators_name: Watada, J.
title: Building fuzzy variance gamma option pricing models with jump levy process
ispublished: pub
keywords: Costs; Electronic trading; Financial markets; Fuzzy set theory; Fuzzy systems; Intelligent systems; Monte Carlo methods; Random processes; Random variables, European-style option; Fuzzy random variable; Fuzzy settings; Levy process; Monte carlo algorithms; Option pricing; Option pricing models; Uncertain factors, Economics
note: cited By 2; Conference of 9th KES International Conference on Intelligent Decision Technologies, KES-IDT 2017 ; Conference Date: 21 June 2017 Through 23 June 2017; Conference Code:192309
abstract: Option pricing models are at core of financial area, and it includes various uncertain factors, such as the randomness and fuzziness. This paper constructs an jump Levy process by combining option pricing models with fuzzy theory, and it sets the drift, diffusion and trend terms as fuzzy random variable. Then, we adopts a Monte Carlo algorithm for numerical simulation, compares and analyses the variance gamma (VG) option pricing model through a simulation experiment, and determines the VG option pricing model and BS model pricing results. The results indicate that VG option pricing with fuzzy settings is feasible. © Springer International Publishing AG 2018.
date: 2018
publisher: Springer Science and Business Media Deutschland GmbH
official_url: https://www.scopus.com/inward/record.uri?eid=2-s2.0-85020452162&doi=10.1007%2f978-3-319-59424-8_10&partnerID=40&md5=4e6a5ce7c9192097c13ab05c3830b5dd
id_number: 10.1007/978-3-319-59424-8₁₀
full_text_status: none
publication: Smart Innovation, Systems and Technologies
volume: 73
pagerange: 105-116
refereed: TRUE
isbn: 9783319594231
issn: 21903018
citation:   Zhang, H. and Watada, J.  (2018) Building fuzzy variance gamma option pricing models with jump levy process.  Smart Innovation, Systems and Technologies, 73.  pp. 105-116.  ISSN 21903018