Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing
DOI10.1016/J.MCM.2008.07.035zbMATH Open1165.91414OpenAlexW1977895070MaRDI QIDQ2389909FDOQ2389909
Authors: A. Thavaneswaran, S. S. Appadoo, A. Paseka 
Publication date: 20 July 2009
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2008.07.035
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Theory of fuzzy sets, etc. (03E72) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)
Cites Work
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Cited In (21)
- Kurtosis of fuzzy coefficient GARCH models
- Option price sensitivities through fuzzy numbers
- The effect of prudence on the optimal allocation in possibilistic and mixed models
- Multidimensional possibilistic risk aversion
- On the relationship between possibilistic and standard moments of fuzzy numbers
- Possibilistic fuzzy net present value model and application
- Expected utility operators and coinsurance problem
- On the lower limit for possibilistic correlation coefficient with identical marginal possibility distributions
- Volatility GARCH models with the ordered weighted average (OWA) operators
- Possibilistic moment generating functions
- Expected utility operators and possibilistic risk aversion
- Construction of fuzzy control charts based on weighted possibilistic mean
- Option implied moments obtained through fuzzy regression
- The fuzzy pricing of Asian options based on weighted possibilistic mean
- A study of Greek letters of currency option under uncertainty environments
- A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios
- Possibilistic mean-variance-skewness portfolio selection models
- Possibilistic risk aversion and coinsurance problem
- A possibilistic approach to risk aversion
- Fuzzy pricing of american options on stocks with known dividends and its algorithm
- Possibilistic moment generating functions of fuzzy numbers with GARCH applications
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