On an implicit assessment of fuzzy volatility in the Black and Scholes environment,

In this work we suggest a methodology to obtain the membership of a non observable parameter through implicit information. To this aim we profit from the interpretation of membership functions as coherent conditional probabilities. We develop full details for the well known Black and Scholes pricing model where the membership of the volatility parameter is obtained from a sample of either asset prices or market prices for options written on that asset.

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Year of publication:	2012-10-01
Authors:	Capotorti, Andrea ; Figa'-Talamanca, Gianna
Institutions:	Dipartimento di Economia, Università degli Studi di Perugia
Subject:	Fuzzy membership elicitation \| Implicit Information \| Coherent Conditional Probability Assessments and Extension \| Probability Possibility Transformation

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Extent:	application/pdf
Series:	Quaderni del Dipartimento di Economia, Finanza e Statistica.
Type of publication:	Book / Working Paper
Notes:	Number 106/2012 23 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010593732