Reliability index and option pricing formulas of the first-hitting time model based on the uncertain fractional-order differential equation with Caputo type (Q5024740)
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scientific article; zbMATH DE number 7465345
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| English | Reliability index and option pricing formulas of the first-hitting time model based on the uncertain fractional-order differential equation with Caputo type |
scientific article; zbMATH DE number 7465345 |
Statements
RELIABILITY INDEX AND OPTION PRICING FORMULAS OF THE FIRST-HITTING TIME MODEL BASED ON THE UNCERTAIN FRACTIONAL-ORDER DIFFERENTIAL EQUATION WITH CAPUTO TYPE (English)
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27 January 2022
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fractional-order differential equations
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\(\alpha\)-path
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predictor-corrector
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first-hitting time model
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barrier option
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reliability index
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0.9106764793395996
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0.7930294871330261
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0.7726987600326538
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0.7719900608062744
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0.7708457112312317
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