A Fuzzy Set Approach on Pricing American Put Options on Euribor Futures
A fuzzy set approach is applied to price Americanput options on Euribor futures in this paper.Sincevolatility in any option pricing model should be thefuture volatility,it is imprecisely to substitute historyvolatility or implied volatility for future volatility.Weintroduce an uncertainty degree to fuzzificate thevolatility parameter of the option pricing model into atriangular fuzzy number.Applying the fuzzy set theory,we calculate the risk-neutral probabilities,which areobtained as fuzzy numbers.Under fuzzy probabilities,we perform the risk-neutral valuation of the Americanput option in a multi-period binomial model.At last,an empirical research is studied to compare the actualprice of put options on 3-month Euribor futures withthe theory price of both fuzzy and precision binomialoption pricing model.The empirical research resultsindicate that fuzzy pricing model is better thanprecision pricing model at the low strike prices,andthe low boundary of the fuzzy price is useful to pricethe American put options on 3-month Euribor futures.
Xiaojian Yu Min Fan
Research Center of Financial Engineering,South China University of Technology,Gruangzhou,510006,China
国际会议
厦门
英文
435-439
2008-11-17（万方平台首次上网日期，不代表论文的发表时间）