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

Author identifier: 0000-0002-7715-779X

Record's date: 2023-02-18

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: http://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