標題: A new application of fuzzy set theory to the Black-Scholes option pricing model
作者: Lee, CF
Tzeng, GH
Wang, SY
科技管理研究所
資訊管理與財務金融系 註:原資管所+財金所
Institute of Management of Technology
Department of Information Management and Finance
關鍵字: Black-Scholes;option pricing model;fuzzy set theory;fuzzy decision space
公開日期: 1-Aug-2005
摘要: The Black-Scholes Option pricing model (OPM) developed in 1973 has always been taken as the cornerstone of option pricing model. The generic applications of such a model are always restricted by its nature of not being suitable for fuzzy environment since the decision-making problems occurring in the area of option pricing are always with a feature of uncertainty. When an investor faces an option-pricing problem, the outcomes of the primary variables depend on the investor's estimation. It means that a person's deduction and thinking process uses a non-binary logic with fuzziness. Unfortunately, the traditional probabilistic B-S model does not consider fuzziness to deal with the aforementioned problems. The purpose of this study is to adopt the fuzzy decision theory and Bayes' rule as a base for measuring fuzziness in the practice of option analysis. This study also employs 'Fuzzy Decision Space' consisting of four dimensions, i.e. fuzzy state; fuzzy sample information, fuzzy action and evaluation function to describe the decision of investors, which is used to derive a fuzzy B-S OPM under fuzzy environment. Finally, this study finds that the over-estimation exists in the value of risk interest rate, the expected value of variation stock price, and in the value of the call price of in the money and at the money, but under-estimation exists in the value of the call price of out of the money without a consideration of the fuzziness. (C) 2005 Elsevier Ltd. All fights reserved.
URI: http://dx.doi.org/10.1016/j.eswa.2005.04.006
http://hdl.handle.net/11536/13436
ISSN: 0957-4174
DOI: 10.1016/j.eswa.2005.04.006
期刊: EXPERT SYSTEMS WITH APPLICATIONS
Volume: 29
Issue: 2
起始頁: 330
結束頁: 342
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