{"id":"https://openalex.org/W2110314259","doi":"https://doi.org/10.1109/iske.2008.4730969","title":"A fuzzy set approach on pricing american put options on Euribor futures","display_name":"A fuzzy set approach on pricing american put options on Euribor futures","publication_year":2008,"publication_date":"2008-11-01","ids":{"openalex":"https://openalex.org/W2110314259","doi":"https://doi.org/10.1109/iske.2008.4730969","mag":"2110314259"},"language":"en","primary_location":{"id":"doi:10.1109/iske.2008.4730969","is_oa":false,"landing_page_url":"https://doi.org/10.1109/iske.2008.4730969","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2008 3rd International Conference on Intelligent System and Knowledge Engineering","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5007492197","display_name":"Xiaojian Yu","orcid":"https://orcid.org/0000-0003-2100-2497"},"institutions":[{"id":"https://openalex.org/I90610280","display_name":"South China University of Technology","ror":"https://ror.org/0530pts50","country_code":"CN","type":"education","lineage":["https://openalex.org/I90610280"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xiaojian Yu","raw_affiliation_strings":["Research Center of Financial Engineering, South China University of Technology, Guangzhou, China","[Research Center of Financial Engineering, South China University of Technology, Guangzhou, China]"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Research Center of Financial Engineering, South China University of Technology, Guangzhou, China","institution_ids":["https://openalex.org/I90610280"]},{"raw_affiliation_string":"[Research Center of Financial Engineering, South China University of Technology, Guangzhou, China]","institution_ids":["https://openalex.org/I90610280"]}]},{"author_position":"last","author":{"id":null,"display_name":"Min Fan","orcid":null},"institutions":[{"id":"https://openalex.org/I90610280","display_name":"South China University of Technology","ror":"https://ror.org/0530pts50","country_code":"CN","type":"education","lineage":["https://openalex.org/I90610280"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Min Fan","raw_affiliation_strings":["Research Center of Financial Engineering, South China University of Technology, Guangzhou, China","[Research Center of Financial Engineering, South China University of Technology, Guangzhou, China]"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Research Center of Financial Engineering, South China University of Technology, Guangzhou, China","institution_ids":["https://openalex.org/I90610280"]},{"raw_affiliation_string":"[Research Center of Financial Engineering, South China University of Technology, Guangzhou, China]","institution_ids":["https://openalex.org/I90610280"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I90610280"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.21283509,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"435","last_page":"439"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9966999888420105,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9966999888420105,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12135","display_name":"Fuzzy Systems and Optimization","score":0.9937999844551086,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9879999756813049,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.7536559700965881},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.6148331165313721},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.6111748218536377},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5945965647697449},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.5575592517852783},{"id":"https://openalex.org/keywords/fuzzy-logic","display_name":"Fuzzy logic","score":0.5220111012458801},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5104967355728149},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.4693152904510498},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.40272057056427},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.2621490955352783},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.05820631980895996}],"concepts":[{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.7536559700965881},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6148331165313721},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6111748218536377},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5945965647697449},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.5575592517852783},{"id":"https://openalex.org/C58166","wikidata":"https://www.wikidata.org/wiki/Q224821","display_name":"Fuzzy logic","level":2,"score":0.5220111012458801},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5104967355728149},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.4693152904510498},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.40272057056427},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2621490955352783},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.05820631980895996}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/iske.2008.4730969","is_oa":false,"landing_page_url":"https://doi.org/10.1109/iske.2008.4730969","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2008 3rd International Conference on Intelligent System and Knowledge Engineering","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":15,"referenced_works":["https://openalex.org/W1482450784","https://openalex.org/W1898259180","https://openalex.org/W1968509795","https://openalex.org/W2033972209","https://openalex.org/W2039921144","https://openalex.org/W2054545513","https://openalex.org/W2055324899","https://openalex.org/W2067259779","https://openalex.org/W2088313916","https://openalex.org/W2115904015","https://openalex.org/W2146612430","https://openalex.org/W2912565176","https://openalex.org/W2914019270","https://openalex.org/W4211007335","https://openalex.org/W4212771256"],"related_works":["https://openalex.org/W3180933049","https://openalex.org/W1491092204","https://openalex.org/W3124537231","https://openalex.org/W3122176587","https://openalex.org/W1588152617","https://openalex.org/W2121246931","https://openalex.org/W4390671392","https://openalex.org/W3129005336","https://openalex.org/W2066726099","https://openalex.org/W3197288076"],"abstract_inverted_index":{"A":[0],"fuzzy":[1,60,64,76,79,121,134,154],"set":[2,65],"approach":[3],"is":[4,30,101,137,156],"applied":[5],"to":[6,32,47,103,158],"price":[7,107,118,155,159],"American":[8,88,161],"put":[9,89,109,162],"options":[10,110,163],"on":[11,111,164],"Euribor":[12,113,166],"futures":[13,114],"in":[14,19,91],"this":[15],"paper.":[16],"Since":[17],"volatility":[18,35,38,50],"any":[20],"option":[21,54,90,125],"pricing":[22,55,126,135,141],"model":[23,56,136,142],"should":[24],"be":[25],"the":[26,49,53,63,69,83,87,105,116,144,149,153,160],"future":[27,40],"volatility,":[28],"it":[29],"imprecisely":[31],"substitute":[33],"history":[34],"or":[36],"implied":[37],"for":[39],"volatility.":[41],"We":[42],"introduce":[43],"an":[44,98],"uncertainty":[45],"degree":[46],"fuzzificate":[48],"parameter":[51],"of":[52,86,108,119,152],"into":[57],"a":[58,92],"triangular":[59],"number.":[61],"Applying":[62],"theory,":[66],"we":[67,81],"calculate":[68],"risk-neutral":[70,84],"probabilities,":[71,80],"which":[72],"are":[73],"obtained":[74],"as":[75],"numbers.":[77],"Under":[78],"perform":[82],"valuation":[85],"multi-period":[93],"binomial":[94,124],"model.":[95,127],"At":[96],"last,":[97],"empirical":[99,129],"research":[100,130],"studied":[102],"compare":[104],"actual":[106],"3-month":[112,165],"with":[115],"theory":[117],"both":[120],"and":[122,148],"precision":[123,140],"The":[128],"results":[131],"indicate":[132],"that":[133],"better":[138],"than":[139],"at":[143],"low":[145,150],"strike":[146],"prices,":[147],"boundary":[151],"useful":[157],"futures.":[167]},"counts_by_year":[],"updated_date":"2026-06-26T08:34:08.712188","created_date":"2025-10-10T00:00:00"}
