Articles producció científica> Gestió d'Empreses

An empirical assestment of fuzzy Black and Scholes pricing option model in Spanish stock option market

  • Identification data

    Identifier: imarina:5133025
    Authors:
    de Andrés-Sánchez, J.
    Abstract:
    The main objective of this paper is assessing the empirical performance of fuzzy extension to Black-Scholes option pricing formula (FBS). Concretely we evaluate the goodness of the FBS predictions for traded prices of options on the Spanish stock index IBEX35 during March 2017. We firstly propose a procedure to fit, from real data, the fuzzy parameters to implement FBS in stock options: price of the subjacent asset, free discount rate and stock volatility. Subsequently we evaluate the capability of FBS to include actual traded prices and whether this capability depends on option moneyness and expiration date. We find that FBS fits quite well actual traded prices. However, generally most representative market prices (closing and medium) are not better fitted than those more extreme (minimum and maximum). We have also check that the goodness of the FBS predictions often depends on the moneyness grade and the expiration date of options.
  • Others:

    Author, as appears in the article.: de Andrés-Sánchez, J.
    Department: Gestió d'Empreses
    URV's Author/s: De Andrés Sànchez, Jorge
    Abstract: The main objective of this paper is assessing the empirical performance of fuzzy extension to Black-Scholes option pricing formula (FBS). Concretely we evaluate the goodness of the FBS predictions for traded prices of options on the Spanish stock index IBEX35 during March 2017. We firstly propose a procedure to fit, from real data, the fuzzy parameters to implement FBS in stock options: price of the subjacent asset, free discount rate and stock volatility. Subsequently we evaluate the capability of FBS to include actual traded prices and whether this capability depends on option moneyness and expiration date. We find that FBS fits quite well actual traded prices. However, generally most representative market prices (closing and medium) are not better fitted than those more extreme (minimum and maximum). We have also check that the goodness of the FBS predictions often depends on the moneyness grade and the expiration date of options.
    Thematic Areas: Statistics and probability Interdisciplinar General engineering Ensino Engineering (miscellaneous) Engineering (all) Engenharias iv Engenharias iii Economia Computer science, artificial intelligence Ciências ambientais Ciência da computação Biotecnología Artificial intelligence Administração pública e de empresas, ciências contábeis e turismo
    licence for use: https://creativecommons.org/licenses/by/3.0/es/
    Author's mail: jorge.deandres@urv.cat jorge.deandres@urv.cat
    Author identifier: 0000-0002-7715-779X 0000-0002-7715-779X
    Record's date: 2024-09-07
    Papper version: info:eu-repo/semantics/acceptedVersion
    Link to the original source: https://content.iospress.com/articles/journal-of-intelligent-and-fuzzy-systems/ifs17719
    Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
    Papper original source: Journal Of Intelligent & Fuzzy Systems. 33 (4): 2509-2520
    APA: de Andrés-Sánchez, J. (2017). An empirical assestment of fuzzy Black and Scholes pricing option model in Spanish stock option market. Journal Of Intelligent & Fuzzy Systems, 33(4), 2509-2520. DOI: 10.3233/JIFS-17719
    Article's DOI: 10.3233/JIFS-17719
    Entity: Universitat Rovira i Virgili
    Journal publication year: 2017
    Publication Type: Journal Publications
  • Keywords:

    Artificial Intelligence,Computer Science, Artificial Intelligence,Engineering (Miscellaneous),Statistics and Probability
    Statistics and probability
    Interdisciplinar
    General engineering
    Ensino
    Engineering (miscellaneous)
    Engineering (all)
    Engenharias iv
    Engenharias iii
    Economia
    Computer science, artificial intelligence
    Ciências ambientais
    Ciência da computação
    Biotecnología
    Artificial intelligence
    Administração pública e de empresas, ciências contábeis e turismo
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