A New Justification of Wang Transform Operator in Financial Risk Analysis

Authors

Vladik Kreinovich, The University of Texas at El PasoFollow
Hung T. Nguyen
Songsak Sriboonchitta

Publication Date

2-2009

Comments

Technical Report: UTEP-CS-09-08

To appear in International Journal of Intelligent Technologies and Applied Statistics

Abstract

One of the most widely used (and most successful) methods for pricing financial and insurance instruments under risk is the Wang transform method. In this paper, we provide a new explanation for the empirical success of Wang's method -- by providing a new simpler justification for the Wang transform.