Paper Info
Title
Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing
Abstract
Carlsson and Fuller [C. Carlsson, R. Fuller, On possibilistic mean value and variance of fuzzy numbers, Fuzzy Sets and Systems 122 (2001) 315-326] have introduced possibilistic mean, variance and covariance of fuzzy numbers and Fuller and Majlender [R. Fuller, P. Majlender, On weighted possibilistic mean and variance of fuzzy numbers, Fuzzy Sets and Systems 136 (2003) 363-374] have introduced the notion of crisp weighted possibilistic moments of fuzzy numbers. Recently, Thavaneswaran et al. [A. Thavaneswaran, K. Thiagarajah, S.S. Appadoo, Fuzzy coefficient volatility (FCV) models with applications, Mathematical and Computer Modelling 45 (2007) 777-786] have defined non-centered nth order possibilistic moments of fuzzy numbers. In this paper, we extend these results to centered moments and find the kurtosis for a class of FCA (Fuzzy Coefficient Autoregressive) and FCV (Fuzzy Coefficient Volatility) models. We also demonstrate the superiority of the fuzzy forecasts over the minimum square error forecast through a numerical example. Finally, we provide a description of option price specification errors using the fuzzy weighted possibilistic option valuation model.
Year
DOI
Venue
2009
10.1016/j.mcm.2008.07.035
Mathematical and Computer Modelling
Keywords
Field
DocType
fuzzy coefficient volatility models,crisp weighted possibilistic moment,fuzzy estimates,weighted possibilistic moments,non-centered nth order possibilistic,possibilistic mean value,weighted possibilistic moment,fuzzy sets,fuzzy forecast,fuzzy coefficient volatility,kurtosis,option pricing,fuzzy number,garch modeling,fuzzy coefficient autoregressive,fuzzy weighted possibilistic option,weighted possibilistic mean,garch model,fuzzy set,option valuation
Mathematical optimization,Valuation of options,Fuzzy logic,Fuzzy mathematics,Fuzzy set,Fuzzy control system,Autoregressive conditional heteroskedasticity,Fuzzy number,Mathematics,Covariance
Journal
Volume
Issue
ISSN
49
1-2
Mathematical and Computer Modelling
Citations 
PageRank 
References 
22
1.79
11
Authors
3
Name
Order
Citations
PageRank
A. Thavaneswaran113021.94
S.S. Appadoo29712.82
A. Paseka3242.22