Autor según el artículo: de Andrés-Sánchez, J.

Departamento: Gestió d'Empreses

Autor/es de la URV: De Andrés Sànchez, Jorge

Resumen: 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.

Áreas temáticas: 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

Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/

Direcció de correo del autor: jorge.deandres@urv.cat

Identificador del autor: 0000-0002-7715-779X

Fecha de alta del registro: 2023-02-18

Versión del articulo depositado: info:eu-repo/semantics/acceptedVersion

Enlace a la fuente original: https://content.iospress.com/articles/journal-of-intelligent-and-fuzzy-systems/ifs17719

URL Documento de licencia: http://repositori.urv.cat/ca/proteccio-de-dades/

Referencia al articulo segun fuente origial: Journal Of Intelligent & Fuzzy Systems. 33 (4): 2509-2520

Referencia de l'ítem segons les normes 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

DOI del artículo: 10.3233/JIFS-17719

Entidad: Universitat Rovira i Virgili

Año de publicación de la revista: 2017

Tipo de publicación: Journal Publications