Artículos de revistas
Pricing Brazilian Exchange Rate Options Using An Adaptive Network-based Fuzzy Inference System
Registro en:
Fuzzy Economic Review. , v. 16, n. 2, p. 59 - 73, 2011.
11360593
2-s2.0-84858048676
Autor
Maciel L.S.
Institución
Resumen
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. 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