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

Andrea Capotorti and Gianna Figa'-Talamanca
Authors registered in the RePEc Author Service: Gianna Figà-Talamanca

No 106/2012, Quaderni del Dipartimento di Economia, Finanza e Statistica from Università di Perugia, Dipartimento Economia

Abstract: 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.

Keywords: Fuzzy membership elicitation; Implicit Information; Coherent Conditional Probability Assessments and Extension; Probability Possibility Transformation. (search for similar items in EconPapers)
Pages: 23 pages
Date: 2012-10-01
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