Paper Info
Title
Greeks Analysis of Currency Option under Fuzzy Environment
Abstract
Owing to the fluctuations in the financial markets from time to time, some input variables such as the interest rate, spot exchange rate and volatility in the Garman-Kohlhagen model can not be expected in a precise sense. Therefore, it is nature to start from the fuzzy environments of currency options markets. In this paper, we introduce fuzzy techniques and obtain the fuzzy versions of the Garman-Kohlhagen model. The calculation formulas of the Greek letters according to the fuzzy G-K models are obtained based on fuzzy set theory. By assuming the foreign and domestic interest rates, spot exchange rate and volatility as fuzzy numbers, the European currency option prices and the Greek letters turn into fuzzy numbers. Then the financial investors can pick any European currency option price and Greek letters with an acceptable belief degree for his later use. The empirical results indicate that the Greeks calculated under fuzzy environment can be considered as a useful tool for managing option risk for an option writer.
Year
DOI
Venue
2009
10.1109/CSO.2009.18
CSO (1)
Keywords
Field
DocType
financial markets,fuzzy set theory,fuzzy techniques,currency options markets,fuzzy environment,fuzzy sets,fuzzy version,economic indicators,european currency option price,put-call parity,domestic interest rates,fuzzy numbers,currency options,fuzzy technique,greek letter,stock markets,foreign interest rates,greeks,fuzzy g-k model,european currency option prices,greeks analysis,fuzzy number,spot exchange rate,fuzzy g-k models,garman-kohlhagen model,finance,currency option,arithmetic,fuzzy set,statistical analysis,pricing,put call parity,interest rate,mathematics,risk management,financial market,fluctuations,stochastic processes
Econometrics,Financial economics,Mathematical optimization,Economics,Put–call parity,Greeks,Fuzzy logic,Fuzzy set,Interest rate,Fuzzy number,Currency,Exchange rate
Conference
Volume
ISBN
Citations 
1
978-0-7695-3605-7
0
PageRank 
References 
Authors
0.34
6
3
Name
Order
Citations
PageRank
Jin-hong Xu1112.70
Weidong Xu2182.67
Wei-Jun Xu315414.56