Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/144577
Title: Risk quantification of an option portfolio through the introduction of the fuzzy Black-Scholes formula
Author: Andreu i Cuscó, Pol
Director/Tutor: Gil Lafuente, Anna Maria
Keywords: Risc (Economia)
Matemàtica financera
Lògica difusa
Tesis de màster
Risk
Business mathematics
Fuzzy logic
Masters theses
Issue Date: 2019
Abstract: The aim of this thesis is to quantify the market risk of an option portfolio under uncertainty. The fuzzy sets theory is introduced to model the parameters of the Black-Scholes option-pricing formula. Since the option price is calculated through the fuzzy Black-Scholes formula, we can compute the Value-at-Risk as a fuzzy number. By doing so, we aim to capture extra information that is lost in traditional models given the uncertainty derived from the fluctuations of financial markets. Finally, we want to conclude whether the introduction of the fuzzy sets theory is useful in order to improve the risk management.
Note: Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2018-2019, Tutor: Ana María Gil Lafuente
URI: http://hdl.handle.net/2445/144577
Appears in Collections:Màster Oficial - Ciències Actuarials i Financeres (CAF)

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