Pricing European Call Currency Option Based on Fuzzy Estimators

Xing Yu; Hongguo Sun; Guohua Chen

doi:10.4236/am.2011.24058

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Applied Mathematics > Vol.2 No.4, April 2011

Pricing European Call Currency Option Based on Fuzzy Estimators ()

Xing Yu, Hongguo Sun, Guohua Chen

DOI: 10.4236/am.2011.24058 PDF HTML 4,985 Downloads 8,372 Views

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.

Keywords

Currency Option, Fuzzy Estimators, Fuzzy Volatility, G-K Model

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.

References

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