Purpose – The purpose of this research is to introduce a class of FRC (fuzzy random coefficient) volatility models and to study their moment properties. Fuzzy option values and the superiority of fuzzy forecasts over minimum mean-square forecasts are also discussed in some detail....

Purpose – The purpose of this research is to introduce a class of FRC (fuzzy random coefficient) volatility models and to study their moment properties. Fuzzy option values and the superiority of fuzzy forecasts over minimum mean‐square forecasts are also discussed in some detail....