European option pricing problems with fractional uncertain processes
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Publication:2129466
DOI10.1016/j.chaos.2020.110606zbMath1498.91462OpenAlexW3117271131MaRDI QIDQ2129466
Publication date: 22 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.2020.110606
Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Fuzzy probability (60A86)
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Cites Work
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- Fractional Brownian Motions, Fractional Noises and Applications
- Stochastic integral
- Uncertainty theory
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