The Total Return Swap Pricing Model under Fuzzy Random Environments
Joint Authors
Wu, Liang
Zhuang, Yaming
Wang, Jun-tao
Liu, Jie-fang
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-01-24
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
This paper models the jump amplitude and frequency of random parameters of asset value as a triangular fuzzy interval.
In other words, we put forward a new double exponential jump diffusion model with fuzziness, express the parameters in terms of total return swap pricing, and derive a fuzzy form pricing formula for the total return swap.
Following simulation, we find that the more the fuzziness in financial markets, the more the possibility of fuzzy credit spreads enlarging.
On the other hand, when investors exhibit stronger subjective beliefs, fuzzy credit spreads diminish.
Using fuzzy information and random analysis, one can consider more uncertain sources to explain how the asset price jump process works and the subjective judgment of investors in financial markets under a variety of fuzzy conditions.
An appropriate price range will give investors more flexibility in making a choice.
American Psychological Association (APA)
Wu, Liang& Wang, Jun-tao& Liu, Jie-fang& Zhuang, Yaming. 2017. The Total Return Swap Pricing Model under Fuzzy Random Environments. Discrete Dynamics in Nature and Society،Vol. 2017, no. 2017, pp.1-10.
https://search.emarefa.net/detail/BIM-1152032
Modern Language Association (MLA)
Wu, Liang…[et al.]. The Total Return Swap Pricing Model under Fuzzy Random Environments. Discrete Dynamics in Nature and Society No. 2017 (2017), pp.1-10.
https://search.emarefa.net/detail/BIM-1152032
American Medical Association (AMA)
Wu, Liang& Wang, Jun-tao& Liu, Jie-fang& Zhuang, Yaming. The Total Return Swap Pricing Model under Fuzzy Random Environments. Discrete Dynamics in Nature and Society. 2017. Vol. 2017, no. 2017, pp.1-10.
https://search.emarefa.net/detail/BIM-1152032
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1152032