Option pricing formulas based on uncertain fractional differential equation
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Publication:2070754
Fuzzy ordinary differential equations (34A07) Fractional ordinary differential equations (34A08) Qualitative investigation and simulation of ordinary differential equation models (34C60) Ordinary differential equations and systems with randomness (34F05) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites work
- A new option pricing model for stocks in uncertainty markets
- A numerical method for solving uncertain differential equations
- American option pricing formula for uncertain financial market
- Critical value-based Asian option pricing model for uncertain financial markets
- European option pricing model based on uncertain fractional differential equation
- Existence and uniqueness theorem for uncertain differential equations
- Extreme values for solution to uncertain fractional differential equation and application to American option pricing model
- First hitting time about solution for an uncertain fractional differential equation and application to an uncertain risk index model
- Hamming method for solving uncertain differential equations
- Milne method for solving uncertain differential equations
- Numerical approach for solution to an uncertain fractional differential equation
- Prospect Theory: An Analysis of Decision under Risk
- Time integral about solution of an uncertain fractional order differential equation and application to zero-coupon bond model
- Uncertain fractional differential equations and an interest rate model
- Uncertain optimal control with application to a portfolio selection model
- Uncertain term structure model of interest rate
- Uncertainty theory
Cited in
(13)- Nonlinear impulsive problems for uncertain fractional differential equations
- First hitting time about solution for an uncertain fractional differential equation and application to an uncertain risk index model
- European option pricing model based on uncertain fractional differential equation
- Time integral about solution of an uncertain fractional order differential equation and application to zero-coupon bond model
- Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market
- Existence and uniqueness of solutions to uncertain fractional switched systems with an uncertain stock model
- Vulnerable European call option pricing based on uncertain fractional differential equation
- Uncertain fractional differential equations and an interest rate model
- Reliability index and option pricing formulas of the first-hitting time model based on the uncertain fractional-order differential equation with Caputo type
- Saddle-point equilibrium for Hurwicz model considering zero-sum differential game of uncertain dynamical systems with jump
- Option pricing based on uncertain fractional differential equation with floating interest rate
- Existence of solution to Hadamard-Caputo fractional differential equation with time delay
- Valuation of convertible bond based on uncertain fractional differential equation
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