Proceedings of the Fourth International Workshop on Knowledge Discovery, Knowledge Management and Decision Support

Incorporation of Fuzzy Logic to the Black-Scholes Model in Exchange Option Pricing

Authors
Manuel Muñoz Palma, Ezequiel Avilés Ochoa
Corresponding Author
Manuel Muñoz Palma
Available Online October 2013.
DOI
10.2991/.2013.10How to use a DOI?
Keywords
Financial risk, fuzzy numbers, Black-Scholes model.
Abstract

Since the introduction of the uncertainty theory, a new paradigm in economy and finance is formed with the in-corporation of new models that allow a greater degree of accuracy to the reality of the environment of organiza-tions based on the fuzzy logic theory. This article empha-sizes the importance of the uncertainty present in the fi-nancial markets, which has provoked an increasing need of establishing models to determine its effect in pricing, as it is the case of the futures and derivatives markets. A proposal is developed to determine the price of an ex-change option applying triangular fuzzy numbers to ex-change rate variables, and to domestic interest rates, and foreign interest rates based on the classic Black-Scholes (B-S) model.

Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

Volume Title
Proceedings of the Fourth International Workshop on Knowledge Discovery, Knowledge Management and Decision Support
Series
Advances in Intelligent Systems Research
Publication Date
October 2013
ISBN
978-90-78677-86-4
ISSN
1951-6851
DOI
10.2991/.2013.10How to use a DOI?
Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Manuel Muñoz Palma
AU  - Ezequiel Avilés Ochoa
PY  - 2013/10
DA  - 2013/10
TI  - Incorporation of Fuzzy Logic to the Black-Scholes Model in Exchange Option Pricing
BT  - Proceedings of the Fourth International Workshop on Knowledge Discovery, Knowledge Management and Decision Support
PB  - Atlantis Press
SP  - 79
EP  - 87
SN  - 1951-6851
UR  - https://doi.org/10.2991/.2013.10
DO  - 10.2991/.2013.10
ID  - MuñozPalma2013/10
ER  -