Option Pricing with Fuzzy-TGARCH Volatility Clustering.

An option is a financial derivative that can help investors hedge risk or speculate by taking on more risk for more profit. Therefore, option pricing models have played an important role in supporting investors. The option price is influenced by the volatility of an underlying asset return, which is impacted by both positive and negative information. The volatility of the option price is considered an important factor for approximating option, especially in short-term option trading. In this research, a fuzzy-TGARCH model is constructed to estimate volatility, which is used to calculate an option price in the stock market with a short-term maturity date. This proposed approach is described and analyzed by comparing the numerical results with those of other methods. The data in the SET50 market are used for observation. With this data, the proposed method performs well for ITM cases when time to maturity is 20 and 30 days. [ABSTRACT FROM AUTHOR]