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Pricing options in a fuzzy environment
Includes abstract.
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| Format: | Thesis |
| Language: | English |
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Department of Mathematics and Applied Mathematics
2014
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| _version_ | 1867614388606730240 |
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| access_status_str | Open Access |
| author | Ramsden, Bevan |
| author2 | Guo, Renkuan |
| author_browse | Guo, Renkuan Ramsden, Bevan |
| author_facet | Guo, Renkuan Ramsden, Bevan |
| author_sort | Ramsden, Bevan |
| collection | Thesis |
| description | Includes abstract. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4924 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:51:15.365Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/4924 Pricing options in a fuzzy environment Ramsden, Bevan Guo, Renkuan Financial Mathematics Includes abstract. Includes bibliographical references (leaves 114-116). 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. 2014-07-31T08:10:49Z 2014-07-31T08:10:49Z 2008 Master Thesis Masters MSc http://hdl.handle.net/11427/4924 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Financial Mathematics Ramsden, Bevan Pricing options in a fuzzy environment |
| thesis_degree_str | Master's |
| title | Pricing options in a fuzzy environment |
| title_full | Pricing options in a fuzzy environment |
| title_fullStr | Pricing options in a fuzzy environment |
| title_full_unstemmed | Pricing options in a fuzzy environment |
| title_short | Pricing options in a fuzzy environment |
| title_sort | pricing options in a fuzzy environment |
| topic | Financial Mathematics |
| url | http://hdl.handle.net/11427/4924 |
| work_keys_str_mv | AT ramsdenbevan pricingoptionsinafuzzyenvironment |