Pricing European Call Currency Option Based on Fuzzy Estimators ()
Abstract
In this paper we present an application of fuzzy estimators method to price European call currency option. We make use of fuzzy estimators for the volatility of exchange rate which based on statistical data to obtain the fuzzy pattern of G-K model. A numerical example is presented to get the -level closed intervals of the European call currency option fuzzy price.
Share and Cite:
X. Yu, H. Sun and G. Chen, "Pricing European Call Currency Option Based on Fuzzy Estimators,"
Applied Mathematics, Vol. 2 No. 4, 2011, pp. 461-464. doi:
10.4236/am.2011.24058.
Conflicts of Interest
The authors declare no conflicts of interest.
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