Option pricing with fuzzy-TGARCH volatility clustering

MaRDI QIDQ6175875zbMATH OpenFDO

Authors Poom Kumam, Dawud Thongtha

Publication date 24 July 2023

Full work available at URL http://ijmcs.future-in-tech.net/18.4/R-Thongtha.pdf

zbMATH Keywords

fuzzy-TGARCH modeloption pricingvolatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and fuzziness (62M86) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(1)

• Construction of the bino-trinomial method using the fuzzy set approach for option pricing

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