Pricing European Call Currency Option Based on Fuzzy Estimators  

作　　者：Xing Yu Hongguo Sun Guohua Chen 

机构地区：[1]不详

出　　处：《Applied Mathematics》2011年第4期461-464,共4页应用数学（英文）

摘　　要：In this paper we present an application of fuzzy estimators method to price European call currency option. We make use of fuzzy estimators for the volatility of exchange rate which based on statistical data to obtain the fuzzy pattern of G-K model. A numerical example is presented to get the -level closed intervals of the European call currency option fuzzy price.In this paper we present an application of fuzzy estimators method to price European call currency option. We make use of fuzzy estimators for the volatility of exchange rate which based on statistical data to obtain the fuzzy pattern of G-K model. A numerical example is presented to get the -level closed intervals of the European call currency option fuzzy price.

关 键 词：CURRENCY OPTION FUZZY ESTIMATORS FUZZY VOLATILITY G-K Model 

分 类 号：O1[理学—数学]