Fractional order stochastic differential equation with application in European option pricing
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Publication:2321458
DOI10.1155/2014/621895zbMATH Open1419.34029OpenAlexW2089088849WikidataQ59039459 ScholiaQ59039459MaRDI QIDQ2321458FDOQ2321458
Authors: Qing Li, Xinquan Zhao, Yanli Zhou, Xiangyu Ge 
Publication date: 23 August 2019
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/621895
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Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional ordinary differential equations (34A08)
Cites Work
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Cited In (19)
- Proactive hedging European call option pricing with linear position strategy
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
- Caputo fractional backward stochastic differential equations driven by fractional Brownian motion with delayed generator
- Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes
- Vulnerable European call option pricing based on uncertain fractional differential equation
- Wellposedness and stability of fractional stochastic nonlinear heat equation in Hilbert space
- Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options
- Title not available (Why is that?)
- A novel algorithm for asymptotic stability analysis of some classes of stochastic time-fractional Volterra equations
- A new operator splitting method for American options under fractional Black-Scholes models
- Pricing of proactive hedging European option with dynamic discrete position strategy
- Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process
- Dynamic hedging based on fractional order stochastic model with memory effect
- Pricing European double barrier option with moving barriers under a fractional Black-Scholes model
- Existence and stability results for Caputo fractional stochastic differential equations with Lévy noise
- Compact finite difference method to numerically solving a stochastic fractional advection-diffusion equation
- Stochastic P-bifurcation of a bistable viscoelastic beam with fractional constitutive relation under Gaussian white noise
- An analysis on the fractional asset flow differential equations
- Localized kernel-based meshless method for pricing financial options underlying fractal transmission system
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