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.