Extensions and distortions of λ-fuzzy measures

We propose extensions and distorsion techniques to improve the flexibility of λ-fuzzy measures. As for extensions, we suggest to use the family of Archimedean t-conorms as generators of the fuzzy measures. As for distortions, we propose the composition or patchwork of different generators. As an exa...

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Bibliographic Details
Published inFuzzy sets and systems Vol. 412; pp. 27 - 40
Main Authors Cherubini, Umberto, Mulinacci, Sabrina
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.06.2021
Subjects
Archimedean t-conorms
Choquet pricing
Fuzzy measures
Option pricing
λ-measure
λ-measure
Archimedean t-conorms
Fuzzy measures
Choquet pricing
Option pricing
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Summary:We propose extensions and distorsion techniques to improve the flexibility of λ-fuzzy measures. As for extensions, we suggest to use the family of Archimedean t-conorms as generators of the fuzzy measures. As for distortions, we propose the composition or patchwork of different generators. As an example of application, we show that in option pricing these techniques substantially improve the flexibility of the model to reproduce features observed from market data that only one Archimedean generator would not be able to represent.
ISSN:0165-0114
1872-6801
DOI:10.1016/j.fss.2020.02.014