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A Fuzzy System for Estimating Premium Cost of Option Exchange Using Mamdani Inference: Derivatives Market of Mexico

TitleA Fuzzy System for Estimating Premium Cost of Option Exchange Using Mamdani Inference: Derivatives Market of Mexico
Publication TypeInternational Journal
Year of Publication2017
AuthorsM. Muñoz, E. Miranda and P. J. Sánchez
JournalINTERNATIONAL JOURNAL OF COMPUTATIONAL INTELLIGENCE SYSTEMS
Volume10
Number1
Pagination153-164
Date Published01/2017
PublisherATLANTIS PRESS, 29 AVENUE LAUMIERE,
Place PublishedPARIS, 75019, FRANCE
ISSN Number1875-6891 / 1875-6883
ISBN Number1875-6883
Keywordsdefuzzification, financial risk, fuzzy logic, mamdani fuzzy inference system
Abstract

The calculation of the premium cost of an option exchange is usually computed by the different mathematical models that obtain the degree of uncertainty in the financial market by Black-Scholes method though such a degree is inaccurate. In order to improve the management of uncertainty the use of fuzzy logic makes possible to capture a better reality of the derivatives market in an uncertain environment. Therefore, this paper aims at introducing a Fuzzy Inference System to estimate the Premium Cost of an option exchange (FISPC) by using the Mamdani based inference system to provide managers a supporting tool for the implementation of design of strategies for the management of financial risk with the purpose of minimizing exchange risk. For a better understanding of the proposal and to validate the good performance of FISPC, it will be developed and applied in the Derivative Market in Mexico and its results compared with Black-Sholes theoretical model. Eventually, an analysis of the results and the impact of managing financial risks with FISPC in the event of volatility in the financial markets are provided.

URLhttp://www.atlantis-press.com/publications/ijcis/index.html
DOI10.2991/ijcis.2017.10.1.11
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