Extreme values for solution to uncertain fractional differential equation and application to American option pricing model

DOI10.1016/j.physa.2019.122357OpenAlexW2968086638WikidataQ115341736 ScholiaQ115341736MaRDI QIDQ2163743

Yun Sun, Ting Jin, Yuanguo Zhu

Publication date: 10 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.122357

zbMATH Keywords

option pricingfractional differential equationuncertainty theoryextreme valueSimpson methodstock model

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (13)

First hitting time about solution for an uncertain fractional differential equation and application to an uncertain risk index model ⋮ Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type ⋮ Uncertain bang-bang control problem for multi-stage switched systems ⋮ L1 method on nonuniform meshes for linear time-fractional diffusion equations with constant time delay ⋮ Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market ⋮ Input-output dynamic model for optimal environmental pollution control ⋮ American rainbow option pricing formulae in uncertain environment ⋮ A study of fractional differential equation with a positive constant coefficient via Hilfer fractional derivative ⋮ Reliability analysis of the uncertain fractional‐order dynamic system with state constraint ⋮ Vulnerable European call option pricing based on uncertain fractional differential equation ⋮ Uncertain fractional-order multi-objective optimization based on reliability analysis and application to fractional-order circuit with Caputo type ⋮ Option pricing formulas based on uncertain fractional differential equation ⋮ RELIABILITY INDEX AND OPTION PRICING FORMULAS OF THE FIRST-HITTING TIME MODEL BASED ON THE UNCERTAIN FRACTIONAL-ORDER DIFFERENTIAL EQUATION WITH CAPUTO TYPE

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