Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type
DOI10.1016/J.CHAOS.2020.110409zbMATH Open1496.91101OpenAlexW3112573264MaRDI QIDQ2128243FDOQ2128243
Jinfeng Bao, Hongxuan Xia, Hui Ding, Ting Jin
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
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predictor-corrector methodreliability index\(\alpha\)-pathuncertain fractional differential equationAsian barrier optionfirst-hitting time model
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)
Cites Work
- The pricing of options and corporate liabilities
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- Extreme values for solution to uncertain fractional differential equation and application to American option pricing model
- Time integral about solution of an uncertain fractional order differential equation and application to zero-coupon bond model
- Equity warrants pricing problem of mean-reverting model in uncertain environment
Cited In (4)
- 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
- Valuation of lookback option under uncertain volatility model
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