International Journal of Computational Intelligence Systems

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Volume 10, Issue 1, 2017, Pages 153 - 164

A Fuzzy System for Estimating Premium Cost of Option Exchange Using Mamdani Inference: Derivatives Market of Mexico

Authors
M. Muñoz1, mpalma25@hotmail.com, E. Miranda2, mirandaeeva@hotmail.com, PJ. Sánchez3, pedroj@ujaen.es
Received 28 April 2016, Accepted 9 September 2016, Available Online 1 January 2017.
DOI
10.2991/ijcis.2017.10.1.11How to use a DOI?
Keywords
Fuzzy logic; defuzzification; financial risk; Mamdani fuzzy inference system
Abstract

The calculation of the premium cost of an option exchange is usually computed by the different mathematical models that obtain the degree of uncertainty in the financial market by Black-Scholes method though such a degree is inaccurate. In order to improve the management of uncertainty the use of fuzzy logic makes possible to capture a better reality of the derivatives market in an uncertain environment. Therefore, this paper aims at introducing a Fuzzy Inference System to estimate the Premium Cost of an option exchange (FISPC) by using the Mamdani based inference system to provide managers a supporting tool for the implementation of design of strategies for the management of financial risk with the purpose of minimizing exchange risk. For a better understanding of the proposal and to validate the good performance of FISPC, it will be developed and applied in the Derivative Market in Mexico and its results compared with Black-Sholes theoretical model. Eventually, an analysis of the results and the impact of managing financial risks with FISPC in the event of volatility in the financial markets are provided.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article under the CC BY-NC license (http://creativecommons.org/licences/by-nc/4.0/).

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<Previous Article In Issue
Next Article In Issue>
Journal
International Journal of Computational Intelligence Systems
Volume-Issue
10 - 1
Pages
153 - 164
Publication Date
2017/01/01
ISSN (Online)
1875-6883
ISSN (Print)
1875-6891
DOI
10.2991/ijcis.2017.10.1.11How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article under the CC BY-NC license (http://creativecommons.org/licences/by-nc/4.0/).

Cite this article

risenwbib
TY  - JOUR
AU  - M. Muñoz
AU  - E. Miranda
AU  - PJ. Sánchez
PY  - 2017
DA  - 2017/01/01
TI  - A Fuzzy System for Estimating Premium Cost of Option Exchange Using Mamdani Inference: Derivatives Market of Mexico
JO  - International Journal of Computational Intelligence Systems
SP  - 153
EP  - 164
VL  - 10
IS  - 1
SN  - 1875-6883
UR  - https://doi.org/10.2991/ijcis.2017.10.1.11
DO  - 10.2991/ijcis.2017.10.1.11
ID  - Muñoz2017
ER  -