European option pricing problems with fractional uncertain processes
From MaRDI portal
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)
Related Items (3)
Valuation of lookback option under uncertain volatility model ⋮ Fractional Liu uncertain differential equation and its application to finance ⋮ Uncertain green product supply chain with government intervention
Cites Work
- The Pricing of Options and Corporate Liabilities
- A formula to calculate the variance of uncertain variable
- Arbitrage in fractional Brownian motion models
- First hitting time about solution for an uncertain fractional differential equation and application to an uncertain risk index model
- The pricing and numerical analysis of lookback options for mixed fractional Brownian motion
- Parameter estimation of uncertain differential equation with application to financial market
- Continuity and variation analysis of fractional uncertain processes
- Parameter estimation in uncertain differential equations
- Asian-barrier option pricing formulas of uncertain financial market
- Some stability theorems of uncertain differential equation
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Arbitrage with Fractional Brownian Motion
- Stability in inverse distribution for uncertain differential equations
- Stability in p-th moment for uncertain differential equation
- A sufficient and necessary condition of uncertainty distribution
- Fractional Brownian Motions, Fractional Noises and Applications
- Stochastic integral
- Uncertainty theory
This page was built for publication: European option pricing problems with fractional uncertain processes