Black-Scholes Fuzzy Numbers as Indexes of Performance
Author
Source
Applied Computational Intelligence and Soft Computing
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-03-24
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Information Technology and Computer Science
Abstract EN
We use the set of propositions of some previous papers to define a fuzzy version of the Black-Scholes value where the risk free instantaneous interest intensity, the volatility and the initial stock price are fuzzy numbers whose parameters are built with statistical financial data.
With our Black-Scholes fuzzy numbers we define indexes of performance varing in time.
As an example, with data of the Italian Stock Exchange on MIB30, we see that in 2004 and 2006 our indexes are negative, that is, they are indexes of the refuse to invest and this refuse increased.
So, on November 11, 2006 we could forecast that the market will become with more risk: the risk of loss will increase.
Now, on January 25, 2010, we know that this forecast has happened.
Obviously, the parameters of our Black-Scholes fuzzy numbers can be valued also with incomplete, possibilistic data.
With respect to the probabilistic one, our fuzzy method is more simple and immediate to have a forecast on the financial market.
American Psychological Association (APA)
Simonelli, M. R.. 2010. Black-Scholes Fuzzy Numbers as Indexes of Performance. Applied Computational Intelligence and Soft Computing،Vol. 2010, no. 2010, pp.1-7.
https://search.emarefa.net/detail/BIM-484638
Modern Language Association (MLA)
Simonelli, M. R.. Black-Scholes Fuzzy Numbers as Indexes of Performance. Applied Computational Intelligence and Soft Computing No. 2010 (2010), pp.1-7.
https://search.emarefa.net/detail/BIM-484638
American Medical Association (AMA)
Simonelli, M. R.. Black-Scholes Fuzzy Numbers as Indexes of Performance. Applied Computational Intelligence and Soft Computing. 2010. Vol. 2010, no. 2010, pp.1-7.
https://search.emarefa.net/detail/BIM-484638
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-484638