A comparison of fuzzy regression methods for the estimation of the implied volatility smile function-Reference-Cited by-同舟云学术

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A comparison of fuzzy regression methods for the estimation of the implied volatility smile function

Published:2015-05 Issue: Volume:266 Page:131-143
ISSN:0165-0114
Container-title:Fuzzy Sets and Systems
language:en
Short-container-title:Fuzzy Sets and Systems

Author:

Muzzioli S.,Ruggieri A.,De Baets B.

Funder

Ministero dell’Istruzione, dell’Università e della Ricerca

Fondazione Cassa di Risparmio di Modena

Publisher

Elsevier BV

Subject

Artificial Intelligence,Logic

Reference34 articles.

1. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973

2. On an implicit assessment of fuzzy volatility in the Black and Scholes environment;Capotorti;Fuzzy Sets Syst.,2013

3. Hybrid fuzzy least-squares regression analysis and its reliability measures;Chang;Fuzzy Sets Syst.,2001

4. Nonlinear models in corporate finance research: review, critique and extensions;Chen;Rev. Quant. Finance Account.,2004

5. On theoretical pricing of options with fuzzy estimators;Chrysafis;J. Comput. Appl. Math.,2009

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