Search Results (6)

Since the early 2000s, fuzzy mathematics has fostered a stream of research on the financial valuation of assets incorporating optionality. This paper makes two contributions to this field. First, it conducts a bibliographical analysis of contributions from fuzzy set theory to option pricing, focusing on fuzzy-random option pricing (FROP) and its applications in binomial and trinomial lattice approaches. Second, it extends the FROP to yield curve modeling within a binomial framework. The bibliographical analysis followed the PRISMA guidelines and was conducted via the SCOPUS and WoS databases. We present a structured review of papers on FROP in discrete time (FROPDT), identifying the principal papers and outlets. The findings reveal that this focus has been applied to price options on stocks, stock indices, and real options. However, the exploration of its application to the term structure of interest-sensitive interest rate assets is very rare. To address this gap, we develop a fuzzy-random extension of the Ho–Lee term structure model, applying it to the European interbank market and price caplet options. Full article

Since the early 21st century, within fuzzy mathematics, there has been a stream of research in the field of option pricing that introduces vagueness in the parameters governing the movement of the underlying asset price through fuzzy numbers (FNs). This approach is commonly known as fuzzy random option pricing (FROP). In discrete time, most contributions use the binomial groundwork with up-and-down moves proposed by Cox, Ross, and Rubinstein (CRR), which introduces epistemic uncertainty associated with volatility through FNs. Thus, the present work falls within this stream of literature and contributes to the literature in three ways. First, analytical developments allow for the introduction of uncertainty with intuitionistic fuzzy numbers (IFNs), which are a generalization of FNs. Therefore, we can introduce bipolar uncertainty in parameter modelling. Second, a methodology is proposed that allows for adjusting the volatility with which the option is valued through an IFN. This approach is based on the existing developments in the literature on adjusting statistical parameters with possibility distributions via historical data. Third, we introduce into the debate on fuzzy random binomial option pricing the analytical framework that should be used in modelling upwards and downwards moves. In this sense, binomial modelling is usually employed to value path-dependent options that cannot be directly evaluated with the Black–Scholes–Merton (BSM) model. Thus, one way to assess the suitability of binomial moves for valuing a particular option is to approximate the results of the BSM in a European option with the same characteristics as the option of interest. In this study, we compared the moves proposed by Renddleman and Bartter (RB) with CRR. We have observed that, depending on the moneyness degree of the option and, without a doubt, on options traded at the money, RB modelling offers greater convergence to BSM prices than does CRR modelling. Full article

The use of agricultural tractors is a major concern in agriculture safety due to the high level of risk of loss of stability combined with the frequent absence of passive safety devices such as rollover protective structures (ROPSs). Indeed, although in most cases the ROPS is installed, when working in vineyards, orchards, or in other cases of limited crop height, the tractor is usually equipped with a foldable ROPS (FROPS), which is often misused because the effort needed for raising/lowering is excessive and the locking procedure is time-consuming. Thus, the goal of this research is to investigate the problem from the ergonomics point of view, developing a support system capable of facilitating FROPS operations. The research outcome consists of the development of a retrofitted full assistance system (FAS) for lowering/raising the FROPS by means of electric actuators. Additionally, an automatic locking device (ALD) was also developed to safely and automatically lock the FROPS. Both the FAS and ALD systems were implemented following a reverse-engineering approach, while their final validation was performed by means of a real prototype tested in a laboratory. The results achieved can contribute to expanding knowledge on human-centered research to improve safety in agriculture and thus social issues of sustainable agricultural systems. Full article

Tractor rollover is the main cause of both fatal and non-fatal injuries in agriculture. The foldable rollover protective structure (FROPS) can help to prevent these injuries. However, in many cases, the FROPS is left in a folded-down position. Human factor and rear-mounted FROPS technical characteristics influence operators’ behavior in roll-bar handling. To improve the FROPS’s comfortable use, the prototype of an enhanced handling system was developed, and its usability was tested and compared with a conventional FROPS. Usability was assessed with 93 novice tractor users through an ad hoc questionnaire (investigating perceived effort, time demand, the posture adopted and satisfaction) and observations (investigating effectiveness and efficiency) during lowering and raising tasks. For both tasks, the participants perceived significantly less effort, less physical discomfort, a higher level of satisfaction and less time demand while operating the enhanced FROPS. Observations showed that the critical issues that emerged for the conventional FROPS were eliminated by adopting the developed and implemented handling system. The developed handling system showed itself to be usable and effective in making the FROPS easier and safer to be operated. Full article

Occupational Health and Safety (OHS) in agricultural activities is an issue of major concern worldwide notwithstanding the ever stricter regulations issued in this sector. In particular, most accidents are related to the use of tractors and the main causes of this phenomenon are due to the lack of rollover protective structures (ROPSs). This happens especially when tractors are used in particular in-field operations that are characterized by limited clearances between tractor and crop rows so that farmers usually use tractors without ROPS (e.g., dismounting it). To solve such a problem, foldable protective structures (FROPSs) have been proposed, which should augment the operator’s protection. However, FROPS’s conventional solutions underestimate the operators’ risk-taking behavior and the widespread misuse of FROPS due to the efforts needed to operate it. The current study aims at contributing to the improvement of the latter issue proposing the development of a novel approach for the implementation of partial assistance systems (PASs) that can reduce the physical effort of the operator when raising/lowering the FROPS. The proposed methodology, which is based on a reverse engineering approach, was verified by means of a practical case study on a tracklaying tractor. Results achieved can contribute to expanding knowledge on technical solutions aimed at improving the human-machinery interaction in the agricultural sector. Full article

The foldable roll-over protective structure (FROPS) protects the operators against fatal injuries in tractor roll-over accidents. However, a rear-mounted FROPS is often folded down or removed. In the present study, the accessible zones and grasping areas in a rear-mounted FROPS were redesigned and adapted to the 5th, 50th, and 95th European human anthropometric percentiles to enhance its correct and comfortable use. Then, a rod was proposed as a design solution to make the roll-bar grasping areas fall within the new accessible zones. The rod prototype increased roll-bar reachability and facilitated the raising handling, especially for shorter users. The present study results and the accessible zones redesigned, taking into account the human percentiles, will be helpful in rethinking reachability issues in manual handling of machinery components, to support the correct behaviours, and make human-machine interaction more comfortable and safer for all. Full article