Greek Letters of European Call Currency Option with Adaptive Fuzzy Numbers

"Greek letters" is an important approach for the financial institution to manage its risk when it sells a currency option to a client in the over-the-counter. In this paper, we introduce the fuzzy techniques and obtain the fuzzy Greek letters. For the trapezoidal fuzzy numbers and triangular fuzzy numbers being the special cases of the adaptive fuzzy number, we present a numerical example with adaptive fuzzy numbers for the characteristics such as the spot exchange rate, domestic interest rate, foreign interest rate, and the volatility. The empirical results indicate that the Greeks calculated under fuzzy environment can be considered as a useful tool for managing option risk for an option writer.