| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1899684 | Physica D: Nonlinear Phenomena | 2011 | 8 Pages |
Abstract
⺠We price European call options on the S&P 500 index using a parametric model. ⺠Our non-linear fuzzy rule-based model presents a robust option pricing tool. ⺠Its performance is comparable to or superior to that of non-parametric models. ⺠Our approach is particularly dominant in volatile financial markets.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Nikola Gradojevic, Dragan Kukolj,