European option pricing model based on uncertain fractional differential equation

DOI10.1007/s10700-018-9293-4zbMath1426.34061OpenAlexW2897396761WikidataQ115383867 ScholiaQ115383867MaRDI QIDQ2272429

Yuanguo Zhu, Hongyan Yan, Ziqiang Lu

Publication date: 10 September 2019

Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10700-018-9293-4

zbMATH Keywords

uncertaintyoption pricingfractional differential equationmean reverting process

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Qualitative investigation and simulation of ordinary differential equation models (34C60) Fractional ordinary differential equations (34A08)

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Cites Work

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