Fractional Liu process with application to finance
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Publication:970062
DOI10.1016/j.mcm.2009.08.031zbMath1185.60039OpenAlexW2015668163MaRDI QIDQ970062
Publication date: 8 May 2010
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2009.08.031
Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Inference from stochastic processes and fuzziness (62M86)
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Existence, uniqueness and stability of fuzzy fractional differential equations with local Lipschitz and linear growth conditions ⋮ Credit derivatives pricing model for fuzzy financial market ⋮ An extended formulation of calculus of variations for incommensurate fractional derivatives with fractional performance index ⋮ Fractional Liu uncertain differential equation and its application to finance ⋮ A fuzzy control system with application to production planning problems ⋮ European option pricing under fuzzy CEV model ⋮ Unnamed Item ⋮ A no-arbitrage theorem for uncertain stock model ⋮ Pricing of European call option under fuzzy interest rate
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