Assessment of Alternative Methods for Parameter Estimation of Investment Instruments Price Models

Abstract

The purpose of this diploma thesis is an assessment of alternative methods for volatility estimation of investment instruments price model. For the construction of the volatility, the crisp volatility, the box approach, the fuzzy partition approach and the fuzzy transform approach was used. Each method was applied to the Monte Carlo simulation with geometric Brownian motion. From the assessment of the results of used methods, it was found that the volatility constructed by the fuzzy transform approach seems to be the best alternative to estimate the price evolution of investment instruments.