This paper deals with the problem of ranking a set alternatives, represented by triangular fuzzy numbers, in decision-making situations. Three new methods are proposed, and notion preference between alternatives is suggested. A comparison other provided concluding table. © 1998 John Wiley & Sons, Inc.

The aim of the paper is twofold: first, to examine hedging effectiveness cryptocurrencies and cryptocurrency portfolios for European equities in bearish bullish market conditions, second, contrast with gold as a safe haven asset. To this end, daily data from 2018 2022 were employed linear nonlinear Autoregressive Distributed Lag (ARDL) framework. findings have significant implications investors, financial intermediaries regulators.

The aim of this paper is to review the literature that has addressed direct and inverse problems in option pricing a fuzzy setting. In problem, stochastic process for underlying asset assumed prices are derived by no-arbitrage or equilibrium conditions. an taken as given used infer process. Models divided into discrete-time continuous-time ones. Special attention paid real options, particular class nonfinancial options evaluate investments. Directions future research outlined. problems,...

Volatility estimation and forecasting are essential for both the pricing risk management of derivative securities. methods can be divided into option-based ones, which use prices traded options in order to unlock volatility expectations, time series models, historical information predict future volatility. Among forecasts, we distinguish between 'model-dependent' Black–Scholes implied 'model-free' volatility, proposed by Britten-Jones Neuberger [Option prices, price processes stochastic...

The SKEW index of the Chicago Board Options Exchange (CBOE), launched in February 2011, measures tail risk not fully captured by VIX index. In this paper we introduce, for first time, a skewness Italian stock market (ITSKEW) and investigate pairwise trilateral relations with volatility returns. results are compared those US market. Data period 3 January 2011 to 29 December 2017 used three main found. First, both markets, acts as measure greed, opposed fear, sense that it captures investor...

Purpose The measurement of regional competitiveness is becoming essential for policymakers to address territorial disparities, while considering the issue correlations among indicators. Therefore, purpose this paper measure using Technique Order Preference by Similarity Ideal Solution (TOPSIS) different distance measures and two levels analysis provide a comparative comprehensive in Europe. Design/methodology/approach authors apply TOPSIS based on three (the Manhattan, Euclidean Mahalanobis...

This paper investigates the information content of volatility indices for purpose predicting future direction stock market. To this end, different machine learning methods are applied. The dataset used consists index returns and US market from January 2011 until July 2022. predictive performance resulting models is evaluated on basis three evaluation metrics: accuracy, area under ROC curve, F-measure. results indicate that outperform classical least squares linear regression model in S&P 500...

The aim of this paper is to comprehensively compare option-based measures volatility, with the ultimate plan devising a new volatility index for Italian stock market. performance different implied in forecasting future evaluated both statistical and an economic setting. properties are also explored, by looking at contemporaneous relationship between changes market returns usefulness proposed returns. results practical importance policy-makers investors. index, based on corridor measures,...

This paper sets up a one period model for pricing an option with fuzzy payoff. The is written on underlying asset that has price at the end of period, modelled by means triangular numbers. methodology used standard derivatives, i.e. so called risk neutral valuation. Combining Binomial Option Pricing Model representation payoff offers some advantages. First it provides intuitive way looking future asset. Second includes results Standard Model, allowing market to have different levels information.