An empirical assestment of fuzzy Black and Scholes pricing option model in Spanish stock option market

DOI10.3233/JIFS-17719MaRDI QIDQ4599604zbMATH OpenOpenAlexFDO

Authors Jorge de Andrés-Sánchez

Publication date 4 January 2018

Published in Journal of Intelligent & Fuzzy Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3233/jifs-17719

zbMATH Keywords

financefuzzy numbersoption pricingBlack-Scholes formulafuzzy regressionexpected interval of fuzzy numbers

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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(2)

• PRICING STOCK OPTIONS USING BLACK-SCHOLES AND FUZZY SETS
• Option implied moments obtained through fuzzy regression

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