Option price sensitivities through fuzzy numbers

Option valuation model with adaptive fuzzy numbers

In this paper, we consider moment properties for a class of quadratic adaptive fuzzy numbers defined in Dubois and Prade [D. Dubois, H. Prade, Fuzzy Sets and Systems: Theory and Applications, Academic Press, New York, 1980]. The corresponding moments of Trapezoidal Fuzzy Numbers (Tr.F.N’s) and Triangular Fuzzy Numbers (T.F.N’s) turn out to be special cases of the adaptive fuzzy number [S. Bodja...

Efficient Computation of Option Price Sensitivities for Options of American Style

under the risk-neutral measure. As usual rd denotes the domestic interest rate, rf the foreign interest rate, σ the volatility. The analysis we do is also applicable to equity options, but we take the foreign exchange market as Abstract: No front-office software can survive without providing derivatives of option prices with respect to underlying market or model parameters, the so called Greeks...

Representability of binary relations through fuzzy numbers

Weanalyse the representability of different classes of binary relations on a set bymeans of suitable fuzzy numbers. In particular, we show that symmetric triangular fuzzy numbers can be considered as the best codomain to represent interval orders. We also pay attention to the representability of other classes of acyclic binary relations. © 2005 Elsevier B.V. All rights reserved.

On The Price Sensitivities During Financial Crisis

The computation of the price sensitivities is of paramount importance in financial risk management. Several new approaches have been recently suggested in the literature for this purpose. However, there is lack of studies that investigate this issue during financial crises. During crises volatility is naturally higher than normal situations. This is going to affect the underlying option pricing...

Consumers' Price Sensitivities Across Complementary Categories