{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/4924"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/4924","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Pricing options in a fuzzy environment","abstract":"Although Fuzzy Logic is not new, it is however only since 2004 that an axiomatic theory has been created that has all the desirable effects of Fuzzy Logic. This theory, named Credibility theory was proposed by Dr. Liu. Within this thesis we aim to utilize credibility theory to model the psychological impacts of market participants on European options. Specifically this is done by modifying the approach that was originally taken by Black and Scholes. The Hew model, which is known as the fuzzy drift parameter model, begins by replacing the deterministic drift within Brownian motion with a fuzzy parameter. This fuzzy parameter models the psychological impacts of market participants. Naturally as we are dealing in Chance theory 1 the risk neutral dynamics change from that of Black and Scholes and thus so does the price of European call options.","abstract_html":"Although Fuzzy Logic is not new, it is however only since 2004 that an axiomatic theory has been created that has all the desirable effects of Fuzzy Logic. This theory, named Credibility theory was proposed by Dr. Liu. Within this thesis we aim to utilize credibility theory to model the psychological impacts of market participants on European options. Specifically this is done by modifying the approach that was originally taken by Black and Scholes. The Hew model, which is known as the fuzzy drift parameter model, begins by replacing the deterministic drift within Brownian motion with a fuzzy parameter. This fuzzy parameter models the psychological impacts of market participants. Naturally as we are dealing in Chance theory 1 the risk neutral dynamics change from that of Black and Scholes and thus so does the price of European call options.","abstract_has_math":false,"creators":["Ramsden, Bevan"],"institution":"Department of Mathematics and Applied Mathematics","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Guo, Renkuan"],"committee_chairs":[],"committee_members":[],"year":2008,"date_issued":"2008","date_published":"2008","updated_at":"2026-07-22T22:23:46Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/4924","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Guo, Renkuan"]},{"key":"dc:creator","label":"Author","values":["Ramsden, Bevan"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2014-07-31T08:10:49Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2014-07-31T08:10:49Z"]},{"key":"dc:date.issued","label":"Date","values":["2008"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Mathematics and Applied Mathematics"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MSc"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/4924"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes abstract.","Includes bibliographical references (leaves 114-116)."]},{"key":"dc:description.abstract","label":"Abstract","values":["Although Fuzzy Logic is not new, it is however only since 2004 that an axiomatic theory has been created that has all the desirable effects of Fuzzy Logic. This theory, named Credibility theory was proposed by Dr. Liu. Within this thesis we aim to utilize credibility theory to model the psychological impacts of market participants on European options. Specifically this is done by modifying the approach that was originally taken by Black and Scholes. The Hew model, which is known as the fuzzy drift parameter model, begins by replacing the deterministic drift within Brownian motion with a fuzzy parameter. This fuzzy parameter models the psychological impacts of market participants. Naturally as we are dealing in Chance theory 1 the risk neutral dynamics change from that of Black and Scholes and thus so does the price of European call options."]},{"key":"dc:title","label":"Title","values":["Pricing options in a fuzzy environment"]}]}],"canonical_facts":{"dc:contributor.advisor":["Guo, Renkuan"],"dc:creator":["Ramsden, Bevan"],"dc:date.accessioned":["2014-07-31T08:10:49Z"],"dc:date.available":["2014-07-31T08:10:49Z"],"dc:date.issued":["2008"],"dc:description":["Includes abstract.","Includes bibliographical references (leaves 114-116)."],"dc:description.abstract":["Although Fuzzy Logic is not new, it is however only since 2004 that an axiomatic theory has been created that has all the desirable effects of Fuzzy Logic. This theory, named Credibility theory was proposed by Dr. Liu. Within this thesis we aim to utilize credibility theory to model the psychological impacts of market participants on European options. Specifically this is done by modifying the approach that was originally taken by Black and Scholes. The Hew model, which is known as the fuzzy drift parameter model, begins by replacing the deterministic drift within Brownian motion with a fuzzy parameter. This fuzzy parameter models the psychological impacts of market participants. Naturally as we are dealing in Chance theory 1 the risk neutral dynamics change from that of Black and Scholes and thus so does the price of European call options."],"dc:identifier.uri":["http://hdl.handle.net/11427/4924"],"dc:language.iso":["eng"],"dc:publisher.department":["Department of Mathematics and Applied Mathematics"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Pricing options in a fuzzy environment"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MSc"]},"updated_at":"2026-07-22T22:23:46Z"}