| How to pricing the financial derivatives have become one of hotspots in the field of modern financial theory research and practice.The European option is an important branch of modern financial derivatives,the rationality of its pricing has a far-reaching impact on financial markets.However,the volatility of financial market and trades and other factors can lead to inaccurate parameters in the option pricing formula.In order to describe the uncertainty of the price of European option and the degree of investor’s hesitation,in this paper apply the triangle intuitionistic fuzzy numbers and the genetic programming to study European option pricing problem.At first the change of underlying assets were represented by the use of triangular intuitionistic fuzzy number,then the European call option pricing problem was studied by two steps binomial tree pricing model and jump model.At last in order to meet the needs of the process of empirical,the parameters of the triangular intuitionistic fuzzy tree in the pricing model were estimated by use the genetic programming,and achieved a good effect on pricing.The main results of this paper are as follows.(1) Under the risk neutral probability, using triangular intuitionistic fuzzy number,fuzzy processing of rising factor and falling factor,and then use two steps binomial tree model,get the pricing formula of interval solution.(2) The interval pricing formula for median processing,based on the triangle intuitionistic fuzzy Numbers and two steps binomial tree model numerical pricing formulas are derived,and use the jump model to modify the pricing formulas of the desires, in order to improve the accuracy of pricing.(3) Dynamic estimation of the parameters of the pricing formula,Using the combination of genetic programming to calculate the normalized function of lossless of waveform,and use this function to calculate the parameters in the pricing formula.And by using the numerical experiment,the results of this model can be used to match the real data. |
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