Option implied moments obtained through fuzzy regression
DOI10.1007/S10700-020-09316-XzbMATH Open1442.62171OpenAlexW3006196806MaRDI QIDQ778074FDOQ778074
Authors: Luca Gambarelli, Silvia Muzzioli, B. De Baets 
Publication date: 30 June 2020
Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10700-020-09316-x
Recommendations
- On theoretical pricing of options with fuzzy estimators
- Option price sensitivities through fuzzy numbers
- Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing
- A comparison of fuzzy regression methods for the estimation of the implied volatility smile function
- Risk-adjusted option-implied moments
- A fuzzy approach to real option valuation
- Option pricing and the Greeks under Gaussian fuzzy environments
- Sensitivity of option prices via fuzzy Malliavin calculus
- scientific article; zbMATH DE number 5631139
- European option pricing under fuzzy environments
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Fuzziness, and linear inference and regression (62J86)
Cites Work
- The pricing of options and corporate liabilities
- The Model Confidence Set
- Linear Regression Analysis with Fuzzy Model
- Volatility forecast comparison using imperfect volatility proxies
- Compound option pricing under fuzzy environment
- Evaluation of fuzzy linear regression models
- A fuzzy regression model based on finite fuzzy numbers and its application to real-world financial data
- A comparative assessment of different fuzzy regression methods for volatility forecasting
- On an implicit assessment of fuzzy volatility in the Black and Scholes environment
- A comparison of fuzzy regression methods for the estimation of the implied volatility smile function
- Fuzzy regression using asymmetric fuzzy coefficients and fuzzified neural networks
- Fuzzy nonparametric regression based on local linear smoothing technique
- A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios
- Options pricing with time changed Lévy processes under imprecise information
- Fuzzy nonlinear regression analysis using a random weight network
- Uncertain portfolio selection with high-order moments
- An empirical assestment of fuzzy Black and Scholes pricing option model in Spanish stock option market
Cited In (1)
Uses Software
This page was built for publication: Option implied moments obtained through fuzzy regression
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q778074)
