Fuzzy Binomial Option pricing model: a comparison of the fuzzy binomials and modified numerical methods
The fuzzy set concept can be applied to the derivative pricing model to cover the uncertainty in the market. The aim of this study is to modify existing fuzzy binomial option pricing models and tests them with several lattice numerical methods to compare the performance and clarify the benefit and n...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2009
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| Online Access: | https://eprints.nottingham.ac.uk/22856/ |
| _version_ | 1848792463582429184 |
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| author | Kanthamanond, Piti |
| author_facet | Kanthamanond, Piti |
| author_sort | Kanthamanond, Piti |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The fuzzy set concept can be applied to the derivative pricing model to cover the uncertainty in the market. The aim of this study is to modify existing fuzzy binomial option pricing models and tests them with several lattice numerical methods to compare the performance and clarify the benefit and necessity of the fuzzy models over the non-fuzzy models. The empirical validation of these models on the artificial data and on the S&P 100 index options is provided with the various tests which cover details in both effectiveness (precision) and efficiency (cost and accuracy). |
| first_indexed | 2025-11-14T18:44:48Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-22856 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:44:48Z |
| publishDate | 2009 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-228562018-02-17T00:41:29Z https://eprints.nottingham.ac.uk/22856/ Fuzzy Binomial Option pricing model: a comparison of the fuzzy binomials and modified numerical methods Kanthamanond, Piti The fuzzy set concept can be applied to the derivative pricing model to cover the uncertainty in the market. The aim of this study is to modify existing fuzzy binomial option pricing models and tests them with several lattice numerical methods to compare the performance and clarify the benefit and necessity of the fuzzy models over the non-fuzzy models. The empirical validation of these models on the artificial data and on the S&P 100 index options is provided with the various tests which cover details in both effectiveness (precision) and efficiency (cost and accuracy). 2009-09-08 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/22856/1/piti_Kanthamanond.pdf Kanthamanond, Piti (2009) Fuzzy Binomial Option pricing model: a comparison of the fuzzy binomials and modified numerical methods. [Dissertation (University of Nottingham only)] (Unpublished) Option pricing fuzzy set Computational Finance |
| spellingShingle | Option pricing fuzzy set Computational Finance Kanthamanond, Piti Fuzzy Binomial Option pricing model: a comparison of the fuzzy binomials and modified numerical methods |
| title | Fuzzy Binomial Option pricing model: a comparison of the fuzzy binomials and modified numerical methods |
| title_full | Fuzzy Binomial Option pricing model: a comparison of the fuzzy binomials and modified numerical methods |
| title_fullStr | Fuzzy Binomial Option pricing model: a comparison of the fuzzy binomials and modified numerical methods |
| title_full_unstemmed | Fuzzy Binomial Option pricing model: a comparison of the fuzzy binomials and modified numerical methods |
| title_short | Fuzzy Binomial Option pricing model: a comparison of the fuzzy binomials and modified numerical methods |
| title_sort | fuzzy binomial option pricing model: a comparison of the fuzzy binomials and modified numerical methods |
| topic | Option pricing fuzzy set Computational Finance |
| url | https://eprints.nottingham.ac.uk/22856/ |