Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type

DOI10.1016/J.CHAOS.2020.110409MaRDI QIDQ2128243zbMATH OpenOpenAlexFDO

Authors Ting Jin, Hui Ding, Hongxuan Xia, Jinfeng Bao

Publication date 21 April 2022

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2020.110409

zbMATH Keywords

predictor-corrector methodreliability index\(\alpha\)-pathuncertain fractional differential equationAsian barrier optionfirst-hitting time model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Fractional ordinary differential equations (34A08) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• A continuity correction for discrete barrier options
• A new option pricing model for stocks in uncertainty markets
• A numerical method for solving uncertain differential equations
• A predictor-corrector approach for the numerical solution of fractional differential equations
• An equilibrium characterization of the term structure
• Analysis of quadrature methods for pricing discrete barrier options
• Asian-barrier option pricing formulas of uncertain financial market
• Barrier option pricing of mean-reverting stock model in uncertain environment
• Equity warrants pricing problem of mean-reverting model in uncertain environment
• European option pricing model based on uncertain fractional differential equation
• Extreme value theorems of uncertain process with application to insurance risk model
• 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
• Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model
• Numerical approach for solution to an uncertain fractional differential equation
• Option pricing when underlying stock returns are discontinuous
• Parameter estimation of uncertain differential equation with application to financial market
• The numerical solution of fractional differential equations: speed versus accuracy
• The pricing of options and corporate liabilities
• 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

Cited in

(5)

• Nonlinear impulsive problems for uncertain fractional differential equations
• Leader Selection and Dynamics Analysis under Leader-Based Collective Bargaining for Buyers’ Alliance
• Existence results for coupled differential equations of non-integer order with Riemann-Liouville, Erdélyi-Kober integral conditions
• Reliability index and option pricing formulas of the first-hitting time model based on the uncertain fractional-order differential equation with Caputo type
• Valuation of lookback option under uncertain volatility model

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