کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1138782 1489186 2009 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing
چکیده انگلیسی

Carlsson and Fuller [C. Carlsson, R. Fuller, On possibilistic mean value and variance of fuzzy numbers, Fuzzy Sets and Systems 122 (2001) 315–326] have introduced possibilistic mean, variance and covariance of fuzzy numbers and Fuller and Majlender [R. Fuller, P. Majlender, On weighted possibilistic mean and variance of fuzzy numbers, Fuzzy Sets and Systems 136 (2003) 363–374] have introduced the notion of crisp weighted possibilistic moments of fuzzy numbers. Recently, Thavaneswaran et al. [A. Thavaneswaran, K. Thiagarajah, S.S. Appadoo, Fuzzy coefficient volatility (FCV) models with applications, Mathematical and Computer Modelling 45 (2007) 777–786] have defined non-centered nnth order possibilistic moments of fuzzy numbers. In this paper, we extend these results to centered moments and find the kurtosis for a class of FCA (Fuzzy Coefficient Autoregressive) and FCV (Fuzzy Coefficient Volatility) models. We also demonstrate the superiority of the fuzzy forecasts over the minimum square error forecast through a numerical example. Finally, we provide a description of option price specification errors using the fuzzy weighted possibilistic option valuation model.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematical and Computer Modelling - Volume 49, Issues 1–2, January 2009, Pages 352–368
نویسندگان
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