Abstract
In this paper we use the fuzzy estimators based on confidence intervals in order to estimate the volatility of currency exchange rate having sample data. We model the uncertainty of the characteristics such as interest rates and volatility using adaptive fuzzy numbers and replace the fuzzy currency option price and the fuzzy volatility by the possibilistic mean value. Furthermore, a numerical example is presented, and we get the expected prices which depend on given degree of confidence. Key words: Currency Option; Option Pricing; Possibilistic Mean Value; Fuzzy Volatility; G-K Model
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have