Option pricing formulas based on uncertain fractional differential equation

DOI10.1007/s10700-021-09354-zzbMath1478.91177OpenAlexW3133841657WikidataQ113903086 ScholiaQ113903086MaRDI QIDQ2070754

Dan A. Ralescu, Wei-wei Wang

Publication date: 24 January 2022

Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10700-021-09354-z

zbMATH Keywords

option pricingfractional differential equationuncertainty theoryextreme valuetime integral

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Ordinary differential equations and systems with randomness (34F05) Qualitative investigation and simulation of ordinary differential equation models (34C60) Fractional ordinary differential equations (34A08) Fuzzy ordinary differential equations (34A07)

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