In this work we suggest a methodology to obtain the membership of a non observable parameter through implicit information. To this aim we profit from the interpretation of membership functions as coherent conditional probabilities. We develop full details for the well known Black and Scholes pricing model where the membership of the volatility parameter is obtained from a sample of either asset prices or market prices for options written on that asset.
['Andrea Capotorti', 'Gianna Figà-Talamanca']
On an implicit assessment of fuzzy volatility in the Black and Scholes environment