Option pricing formulas based on uncertain fractional differential equation

DOI10.1007/s10700-021-09354-zzbMath1478.91177WikidataQ113903086 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 pricing; fractional differential equation; uncertainty theory; extreme value; time integral

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

34F05: Ordinary differential equations and systems with randomness

34C60: Qualitative investigation and simulation of ordinary differential equation models

34A08: Fractional ordinary differential equations

34A07: Fuzzy ordinary differential equations

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