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Soft Computing

, Volume 23, Issue 24, pp 13205–13213 | Cite as

Fuzzy simulation of European option pricing using mixed fractional Brownian motion

  • Sara GhasemalipourEmail author
  • Behrouz Fathi-Vajargah
Methodologies and Application
  • 72 Downloads

Abstract

Financial pricing models have great impact on the world of high finance as they enable financial experts to predict the dynamics of underlying asset. Over the last few decades, there has been a lot of competitions among financial researches to establish the most efficient pricing model for different options. This study aims to propose an option valuation model based on mixed fractional Brownian motion and to show how it can efficiently be used as a financial predictive model. In fact, this option evaluation model employs the fuzzy simulation method to estimate a European call option under the condition that the interest rates (domestic and foreign rates) and the volatility are random fuzzy variables. Furthermore, the performance of the proposed model is validated by solving some experimental problems.

Keywords

Mixed fractional Brownian motion European call option Fuzzy simulation Random fuzzy variables 

Notes

Compliance with ethical standards

Conflict of interest

The author declares that they have no conflict of interest.

Ethical approval

This article does not contain any studies with human participants or animals performed by any of the authors.

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Faculty of Mathematical SciencesUniversity of GuilanRashtIran
  2. 2.Department of Statistics, Faculty of Mathematical SciencesUniversity of GuilanRashtIran

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