Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/108998
Type: Artigo de periódico
Title: Pricing Brazilian Exchange Rate Options Using An Adaptive Network-based Fuzzy Inference System
Author: Maciel L.S.
Abstract: Recently, option pricing has become the focus of risk managers, policymakers, traders and more generally all market participants, since they find valuable information in these contracts. This paper suggests the pricing performance evaluation on Brazilian exchange rate R$ (Reais) per US$ (U.S. Dollar) option contracts, traded at the Brazilian derivatives market, using an adaptive networkbased fuzzy inference system, for the period from April 1999 to April 2009. A fuzzy rule-based system was built with a family of conditional if-then statements whose consequent are functions of the antecedents, and then composed with the aid of fuzzy neurons. The ANFIS model was compared against the Black closedform formula and some neural networks topologies, considering traditional error measures and statistical tests. The results showed that the ANFIS model outperforms closed-form formula methodology in pricing Brazilian currency options, mainly for out-of-the money contracts.
Editor: 
Rights: fechado
Identifier DOI: 
Address: http://www.scopus.com/inward/record.url?eid=2-s2.0-84858048676&partnerID=40&md5=7cacdda9d013bab3b3d52fd3b05c6101
Date Issue: 2011
Appears in Collections:Unicamp - Artigos e Outros Documentos

Files in This Item:
There are no files associated with this item.


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.