Option implied moments obtained through fuzzy regression

DOI10.1007/S10700-020-09316-XMaRDI QIDQ778074zbMATHOpenAlexFDO

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

zbMATH Keywords

forecastingkurtosisskewnessfuzzy regressionItalian market

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Fuzziness, and linear inference and regression (62J86)

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Cites work

• A comparative assessment of different fuzzy regression methods for volatility forecasting
• A comparison of fuzzy regression methods for the estimation of the implied volatility smile function
• A fuzzy regression model based on finite fuzzy numbers and its application to real-world financial data
• A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios
• An empirical assestment of fuzzy Black and Scholes pricing option model in Spanish stock option market
• Compound option pricing under fuzzy environment
• Evaluation of fuzzy linear regression models
• Fuzzy nonlinear regression analysis using a random weight network
• Fuzzy nonparametric regression based on local linear smoothing technique
• Fuzzy regression using asymmetric fuzzy coefficients and fuzzified neural networks
• Linear Regression Analysis with Fuzzy Model
• On an implicit assessment of fuzzy volatility in the Black and Scholes environment
• Options pricing with time changed Lévy processes under imprecise information
• The Model Confidence Set
• The pricing of options and corporate liabilities
• Uncertain portfolio selection with high-order moments
• Volatility forecast comparison using imperfect volatility proxies

Cited in

(3)

• A comparative assessment of different fuzzy regression methods for volatility forecasting
• A comparison of fuzzy regression methods for the estimation of the implied volatility smile function
• Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing

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• MCS

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