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Seminario: SMART merging operators applied to fuzzy option pricing

Il seminario sarà tenuto da Andrea Capotorti (Università degli Studi di Perugia) e si svolgerà martedi 17 ottobre 2017, ore 14.15 presso l'aula seminari (ala ovest, Dipartimento di Economia "Marco Biagi"). 

Abstract
We show a recent methodology for membership elicitation on the hidden volatility of a risky asset through both the historical volatility estimator and another estimator based on the VIX index. Our proposal is based on interpretation of membership functions as coherent conditional probability assessments, integrated with observed data, expert evaluations and simulation results. Hence we can say that it is a hybrid approach, lying in between deterministic and stochastic volatility models. 

The peculiarity of our procedure is to deal with alternative sources of information, hence the need to introduce “fusion operators” to merge the different memberships stemmed by the different sources. In particular we have defined two distinct deformations of the usual fuzzy mean, one designed to work “disjointly” to merge the memberships coming from two or more different equally probable scenarios/models, and the other to merge “conjointly” the memberships obtained by the two sources of information. Details will be given on the elicitation procedure, on our operators for disjunction and conjunction and their entailment on fuzzy option pricing for the S&P500 Index, both in Cox-Ross-Rubinstein binomial market model and in Black and Scholes continuous time model. 

[Ultimo aggiornamento: 16/10/2017 12:45:43]