A Dynamic Portfolio of American Option Using Fuzzy Binomial Method
نویسنده
چکیده
A Dynamic Portfolio or Dynamic Asset Allocation is a strategy used to determine the proportion of a number of assets, chosen carefully, in order to achieve optimum performance of the portfolio. In this paper, the portfolio consists only Options traded in the financial market. One of the most famous models of option pricing is Binomial Cox-Ross-Rubinstein (CRR) Model. Using Fuzzy Binomial CRR procedure, the price of option is an interval with specific membership degree, by which the investors are allowed to adjust their portfolios. We make a portfolio dynamically adjusted periodically, in which the membership degree of an option price determines decision of buying or selling option in the simulation. The result shows a significant gain of investment only in a short period of time.
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