Fractional order stochastic differential equation with application in European option pricing

DOI10.1155/2014/621895zbMath1419.34029OpenAlexW2089088849WikidataQ59039459 ScholiaQ59039459MaRDI QIDQ2321458

Qing Li, Xinquan Zhao, Yan-Li Zhou, Xiang-Yu 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

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional ordinary differential equations (34A08)

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