Estimating the Option Pricing of Currency Market Exchanges Using the Adaptive Neural-Fuzzy Network Method with Z-Valuation Language Variables
محورهای موضوعی : مجله بین المللی ریاضیات صنعتیعباسعلی ابونوری 1 , M Matinfar 2 , اصغر سیفی 3
1 - دانشگاه آزاد اسلامی
2 - Science of Mathematics Faculty, Department of Mathematics, University of Mazandaran,P.O.Box 47416-95447, Babolsar, Iran
3 - گروه ریاضی (آنالیز عددی)، دانشکده علوم ریاضی، دانشگاه مازندران، بابلسر، ایران
کلید واژه: Currency Market, Pricing, Adaptive Fuzzy Neural Network, Z-Numbers,
چکیده مقاله :
Today's, financial derivatives are among the most important instruments to decrease and handle financial risks via high efficiency. One of them is the option contracts in several asset areas such as interest rate, channel and currency, etc. Clearly, uncertainty is undesirable and inevitable for investors who have chosen the currency market for investment. As all the investor's effort is to reduce uncertainty, forecasting is one of the tools in such a market. In this matter, one of the novel methods to predict the price of currency derivatives is using adaptive neural-fuzzy networks. However, since the reliability of information is not shown well in fuzzy sets, solving this challenge is of particular importance. This paper utilizes Z-numbers instead of fuzzy ones to mean this type of information. Then, an improved Z-valuation adaptive neural-fuzzy network is developed for currency price prediction. The obtained results reveal that currency price prediction modeling is confirmed using neural networks.
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