Pricing options in a fuzzy environment

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dc.contributor.advisorGuo, Renkuanen_ZA
dc.contributor.authorRamsden, Bevanen_ZA
dc.date.accessioned2014-07-31T08:10:49Z
dc.date.available2014-07-31T08:10:49Z
dc.date.issued2008en_ZA
dc.descriptionIncludes abstract.
dc.descriptionIncludes bibliographical references (leaves 114-116).
dc.description.abstractAlthough Fuzzy Logic is not new, it is however only since 2004 that an axiomatic theory has been created that has all the desirable effects of Fuzzy Logic. This theory, named Credibility theory was proposed by Dr. Liu. Within this thesis we aim to utilize credibility theory to model the psychological impacts of market participants on European options. Specifically this is done by modifying the approach that was originally taken by Black and Scholes. The Hew model, which is known as the fuzzy drift parameter model, begins by replacing the deterministic drift within Brownian motion with a fuzzy parameter. This fuzzy parameter models the psychological impacts of market participants. Naturally as we are dealing in Chance theory 1 the risk neutral dynamics change from that of Black and Scholes and thus so does the price of European call options.en_ZA
dc.identifier.apacitationRamsden, B. (2008). <i>Pricing options in a fuzzy environment</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/4924en_ZA
dc.identifier.chicagocitationRamsden, Bevan. <i>"Pricing options in a fuzzy environment."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2008. http://hdl.handle.net/11427/4924en_ZA
dc.identifier.citationRamsden, B. 2008. Pricing options in a fuzzy environment. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Ramsden, Bevan AB - Although Fuzzy Logic is not new, it is however only since 2004 that an axiomatic theory has been created that has all the desirable effects of Fuzzy Logic. This theory, named Credibility theory was proposed by Dr. Liu. Within this thesis we aim to utilize credibility theory to model the psychological impacts of market participants on European options. Specifically this is done by modifying the approach that was originally taken by Black and Scholes. The Hew model, which is known as the fuzzy drift parameter model, begins by replacing the deterministic drift within Brownian motion with a fuzzy parameter. This fuzzy parameter models the psychological impacts of market participants. Naturally as we are dealing in Chance theory 1 the risk neutral dynamics change from that of Black and Scholes and thus so does the price of European call options. DA - 2008 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2008 T1 - Pricing options in a fuzzy environment TI - Pricing options in a fuzzy environment UR - http://hdl.handle.net/11427/4924 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/4924
dc.identifier.vancouvercitationRamsden B. Pricing options in a fuzzy environment. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2008 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4924en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Mathematicsen_ZA
dc.titlePricing options in a fuzzy environmenten_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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